Multi-dimensional tradable product order book system

ABSTRACT

Systems and methods are provided for processing multi-dimensional orders. A data transaction request message is received at a data transaction system. The data transaction request message includes data representative of at least a first function for a first attribute of a commodity and a second function for a second attribute of the commodity. The data transaction system identifies a set of solutions described by the first function and the second function. The set of solutions including values for different variations of the object that the participant who submitted the data transaction request message is willing to offer or receive for the respective variation. The data transaction system attempts to match one or more of the values from the set of solutions to previously received but unsatisfied electronic data transaction request messages counter thereto stored in an order book data structure.

CROSS REFERENCE TO RELATED APPLICATIONS

The present application is a continuation under 37 C.F.R. § 1.53(b) ofU.S. patent application Ser. No. 16/235,526 filed Dec. 28, 2018,entitled “MULTI-DIMENSIONAL TRADEABLE PRODUCT ORDER BOOK SYSTEM”, nowU.S. Pat. No. ______, the entire disclosure of which is incorporated byreference herein.

The present patent application is related to patent application Ser. No.17/725,279, filed on Apr. 20, 2022, entitled “MULTI-DIMENSIONAL ORDERMESSAGE INTERFACE,” which is a is a continuation under 37 C.F.R. §1.53(b) of U.S. patent application Ser. No. 16/235,549 filed Dec. 28,2018, entitled “MULTI-DIMENSIONAL ORDER MESSAGE INTERFACE,” the entiretyof all of which are incorporated by reference herein.

BACKGROUND

A data transaction processing system, such as an exchange computingsystem, processes data items or objects. Customer or user devices (e.g.,client computers) may submit electronic data transaction requestmessages, e.g., inbound messages, to the data transaction processingsystem over a data communication network. The electronic datatransaction request messages may include, for example, transactionmatching parameters, such as instructions and/or values, for processingthe data transaction request messages within the data transactionprocessing system. The instructions may be to perform transactions,e.g., buy or sell a quantity of a product at a specified price.Products, e.g., financial instruments, or order books representing thestate of an electronic marketplace for a product, may be represented asdata objects within the exchange computing system. The instructions mayalso be conditional, e.g., buy or sell a quantity of a product at agiven value if a trade for the product is executed at some otherreference value.

In a typical data transaction processing system, each product may betransacted as a function of a price. A seller offers to sell a number ofunits of the product at a certain price and the buyer offers to buy anumber of units of the product at a different price. If there is amatch, a transaction occurs in which the seller sells the product to thebuyer at an agree upon price. To maintain an orderly market, a typicaldata transaction processing system may require that each product bestandardized so that the buyer and seller do not need to negotiate overanything but price. This mechanism is the underlying framework for allsecurities that are standardized and have standardized variables,including futures, equities, options, fixed income, etc. The key is oneset of these products is fungible with any other set. There is nofinancial difference between one set of IBM shares and another set ofthe same class of shares. The same is true for futures products, as wellas the thousands of options, bonds, ETFs and other exchange-tradedsecurities traded all over the world.

However, assets such as physical commodities like iron ore, crude oil,or steel have specifications that are not uniform and range over a largevalue of attributes. The methods of transacting nonstandard products aremuch slower, more manual, less transparent and not easily systematized.One example is physical crude oil grades for which a variety ofattributes such as gravity, sulfur content and location (logistics costto market) determine a separate value for each grade. There is nogeneric “crude oil,” for example. Even products like WTI (West TexasIntermediate) strike a benchmark off a popular grade and define a strictrange of specific deviations from a standard for the range of definingattributes. Grades identified outside of these specifications are deemed‘not good delivery.’ Once a potential transaction departs thesestandardized products, it enters into a complex set of pricing offsets,formulas and scales. The number of value-attribute combinations can runinto the tens of thousands. Each buyer and seller may have their ownneeds and pricing mechanism.

Connecting buyers and sellers of any other of these peripheral grades orcrude oil that falls outside of standard specs then falls into asemi-electronic ‘basis market’ (where products are traded at an offsetto a benchmark), a limited distribution Electronic CommunicationsNetwork (ECN) or a much more manual and bespoke, individually arrangedbilateral transactions—negotiated over phone or Instant Messaging (IM.)The wide array of attributes and non-standardization had made thesemarkets very challenging to perform efficiently. To negotiate atransaction requires negotiating on many of these individual attributes.Further, there is a very large industry and infrastructure of brokersand specialized trading firms who derive their business from exploitingthe many pricing differences across the vast range of grades, producttypes, logistical challenges and general information opacity that therehas not been a natural market incentive to create and promoteelectronic, central-limit trading in these markets.

BRIEF DESCRIPTION OF THE DRAWINGS

FIG. 1 depicts a computer network system, according to some embodiments.

FIG. 2 depicts a general computer system, according to some embodiments.

FIG. 3A depicts a storage data structure, according to some embodiments.

FIG. 3B depicts another storage data structure, according to someembodiments.

FIG. 3C depicts yet another data structure, according to someembodiments.

FIG. 4 depicts a match engine module, according to some embodiments.

FIG. 5 depicts an example system architecture for optimizing aportfolio.

FIG. 6 depicts an example workflow for optimizing a portfolio.

FIG. 7 depicts an example spreadsheet describing a price frontier.

FIG. 8A depicts an example spreadsheet describing a partial set ofsolutions using the price frontier of FIG. 7 .

FIG. 8B depicts an example graph of the set of solutions of the pricefrontier of FIG. 7 .

FIG. 9 depicts an example of matching trades between two price frontiercurves.

FIG. 10 depicts an example workflow for generating a price frontier.

FIG. 11 depicts an example graphical user interface for generating aprice frontier.

FIG. 12 depicts an example graphical user interface for generating aprice frontier.

DETAILED DESCRIPTION

The disclosed embodiments relate generally to a method for generating amulti-dimensional order message for transacting an object. The interfaceprovides a mechanism to generate a data transaction request message thatdescribes a participant's personalized evaluation of a non-standardcommodity. The interface provides for transacting objects whose value isderived from multiple variables.

In an embodiment, the data transaction request message is received at adata transaction system. The data transaction request message includesdata representative of at least a first function for a first attributeof a commodity and a second function for a second attribute of thecommodity. The data transaction system identifies a set of solutionsdescribed by the first function and the second function. The set ofsolutions including values for different variations of the object thatthe participant who submitted the data transaction request message iswilling to offer or receive for the respective variation. The datatransaction system attempts to match one or more of the values from theset of solutions to previously received but unsatisfied electronic datatransaction request messages counter thereto stored in an order bookdata structure.

Many physical commodities take various forms. Each lot or unit ofcertain physical commodities, for example, may be slightly differentthan another lot or unit. Commodities such as crude, grain, iron ore,and others may range from low grade (poor quality) to high grade (goodquality) with numerous variations in-between. Many of these physicalcommodities maintain multiple different marketplaces for differentgrades. For example, there may be ten or more different grades of crudethat are currently being traded extensively. To complicate the markets,each participant may value the grades and variations differently. Onecomposition of crude may be more valuable to a first participant than asecond composition while the reverse may be applicable to a secondparticipant. One composition may be worthless to a one participant evenwhen a second participant may pay a premium. The many different uses forthese commodities may generate different needs and values for differentcompositions. Singular marketplaces (or even multiple markets fordifferent grades) cannot provide the granular pricing and matching toprovide an efficient marketplace for each of the participants. In thecurrent marketplaces there is both waste in the pricing and matchingmechanisms and underutilization for variations that lie outside thestandard deviations.

One example of an asset whose value is derived from multiple variablesis iron ore. Iron ore may be traded using the spot market, future,options, or other types of instruments. Iron ore is not a fungiblecommodity. Different percentages of iron content reflect both thenatural variation in iron ore grades found in mine deposits and thedegree of processing (if any) employed to upgrade the ore for a certainuse. In general, higher purity ores help increase hot metal yields inthe blast furnace, and also lower production cost by reducing the amountof coke required. The relative preference for different ore typesdepends on market conditions, and the differentials between the variousiron ore indices are very dynamic. Consumption of iron ore products canalso be constrained by the end-use application that the steel produceris designing its product for. Typically, higher-grade flat steelproducts require higher-quality raw material inputs with lowerimpurities to ensure that they are applicable to the end-product theyare used in. Therefore, although some steel mills have becomeexperienced in adapting their melt mix to accommodate for volatility inraw materials markets, others are more constrained by their customers asto how much they can mitigate severe market volatility. Lower-grade oreswith higher fractions of impurities such as silica and alumina requireincreased consumption of coke, which can raise emissions of controlledgases and particulates.

One of the biggest drivers of price changes is the profit margin thatsteelmakers are achieving—defined by the price at which they sell theirsteel minus the costs of their raw materials inputs. When margins arehigh and mills are profiting from each ton they produce, they may preferto use high-purity ores to maximize their blast furnace yield.Conversely, when margins fall away, mills look to the cheaper low-gradeores to reduce costs and minimize their production rates. As a variablecommodity, prices for iron ore are currently normalized back to indexbase specifications by using coefficients. The below table describes anexample table of iron ore premium/discount allowances:

TABLE 1 Premium/Discount Target Tolerance (CNY/MT) Iron (Fe) ≥60.0%≥60.0% & ≤62.0%: −1.5 per 0.1% decrease >62.0% & ≤65.0%: +1.0 per 0.1%increase >65.0%: Pricing at 65.0% Silicon dioxide ≤8.5% 0 (SiO₂) +Aluminum oxide (Al₂O₃) Silicon ≤6.5% >4.0% & ≤4.5%: dioxide (SiO₂) −1.0per 0.1% increase; >4.5% & ≤6.5%: −2.0 per 0.1% increase (calculatedaccumulatively) Aluminum ≤3.5% >2.5% & ≤3.0%: oxide (Al₂O₃) −1.5 per0.1% increase; >3.0% & ≤3.5%: −3.0 per 0.1% increase (calculatedaccumulatively) Phosphorus (P) ≤0.15% >0.07% & ≤0.10%: Sulfur (S) ≤0.20%−1.0 per 0.01% increase >0.10% & ≤0.15%: −3.0 per 0.01% increase(calculated accumulatively) −1.0 per 0.01% increase Grain size Not lessthan 0 70% are finer than 0.075 mm

The normalization of prices provides standardization and allows for ironore to be traded across only a few marketplaces. However, normalizationleads to inefficiencies in pricing and generates additional work andcalculations. A buyer is not assured to get exactly what they want. Aseller may not get the best price for their iron ore. After atransaction is completed, both parties must negotiate premiums anddiscounts as described above in Table 1. These premiums and discountsmay not reflect the utility or price evaluations that each participantmaintains. In addition, the premium and discount system may excludecertain grades of iron ore that may be desirable to certainparticipants.

Due to the different types of Iron ore, there are multiple differentindices and markets for Iron ore. A 62% Fe index has been used as abenchmark for some time. However, the 62% Fe index could not serve toreflect the incredibly varied range of products. Negotiating premiumsand discounts to this benchmark mid-grade index is like aiming at amoving target, with spot prices for different grade segments marching tothe beat of their own drums. Different indices were therefore createdfor different grades and compositions. The different indices and marketssplinter the market as a whole and generate subpar results. While moreflexible and granular than a single index with premiums and discounts,the different indices still do not provide adequate coverage and supportfor both buyers and sellers. There is inexact pricing as there is stillsingle price points for vast swaths of possible iron ore. Sellers may bestuck with products that could be useful to a buyer but for lack of anability to advertise and sell the products. Premiums and discounts mayalso be required for settlement leading to additional work and time.Additionally, a firm or participant that wishes to bid on a variety ofiron ore compositions (and price them per their specifications) isunable to or is prevented as setting up and receiving bids/offers foreach of the combinations is impossible. Likewise, requiring bids andasks for each individual price point is unwieldy.

Embodiments provide systems and methods that allow participants tosubmit and transact different variations of an object usingmulti-dimensional orders. Multi-dimensional orders allow a participantto transmit a single order message that includes tens, hundreds, orthousands of price points that the participant would be willing to buyor sell a particular grade or composition of an object. The collectionof price points may be referred to as a price frontier in that takentogether, the price points create a boundary for which the participantis willing to offer or sell for. Price frontiers may be generated usinga specifically configured interface and transmitted to a datatransaction processor. The data transaction processor receives theformatted price frontier message, determines the price frontiercontained there within and attempts to find a match with a previousreceived but unfilled order resting on a multi-dimensional order bookstructure. The use of price frontier reduces computational resourcesrequired to both transmit and process multi-dimensional orders. Pricefrontiers also provide a benefit to both buyers and sellers ofcommodities by providing granular pricing and matching.

Multi-dimensional orders can reduce over-advertisement of actualliquidity, and also reduce the amount of monitoring, updating, andmessaging performed by client computers. Instead of submitting differentmessages/financial instruments where each is associated with a quantity,Multi-dimensional orders allow the trader to associate a function with aquantity.

Further, multi-dimensional orders remove the need to maintain linkedorders, because the exchange computing system can treat all valuesarising from the same order as being linked. Thus, one multi-dimensionalorder may represent one or more sets or ranges of values. If the datatransaction processor executes a match at any one of the values definedby the multi-dimensional order, the data transaction processor needs toonly adjust (i.e., reduce) the quantity associated with themulti-dimensional order. Every other value defined by themulti-dimensional order thus becomes associated with the reducedquantity. There is no need, in function-based matching as disclosedherein, to check for linked orders or modify linked orders each time amatch is executed.

When the market changes, some or all of these multi-dimensional ordersmay need to be recalculated and updated, typically all at once or in aslittle time as possible, by, for example, sending in order modificationsor cancellations to the exchange. The flood of information is taxing onthe exchange hardware and also on customer's equipment as it may involvethousands to millions of messages per second back and forth throughout aday.

One multi-dimensional order may be able to convey information that wouldnormally require multiple discrete-value-based electronic datatransaction request messages. For example, one multi-dimensional ordercan represent hundreds of different combinations of possible grades of acommodity. Thus, submitting function-based electronic data transactionrequest messages can greatly reduce the amount of information that istransmitted to the data transaction processing system.

Multi-dimensional order may be implemented to convey the sameinformation as multiple, e.g., hundreds, of discrete-value-basedelectronic data transaction request messages, where eachdiscrete-value-based electronic data transaction request messageincludes a request to perform a transaction at particular, specifiedparameters.

The multi-dimensional orders are much smaller in size and complexitythan discrete-value-based electronic data transaction request messages.Specifically, the disclosed embodiments provide systems and methods forreceiving, and performing transactions implementing, multi-dimensionalorders. The disclosed embodiments enable client computers to submitrequests including functions defining a desired set of price points fordifferent grades of commodities, which greatly reduces the amount ofmessages submitted to the data transaction processing system. A datatransaction processing system may typically receive millions of messagesper day, so the multi-dimensional orders can significantly reduceoverall network congestion. In one embodiment, the disclosed embodimentsmay implement a specific order type, a specific data transactionprocessor, e.g., hardware matching processor, for processing the ordertype, and a specific interface for interpreting market data and forgenerating multi-dimensional orders.

Once a user has submitted a multi-dimensional order, that may define alarge set of values for various grades of a commodity, the user mayefficiently and easily modify and manipulate the data set by submittingchanges to the submitted function, as opposed to having to submit aseparate modification for each of the price points. The disclosedembodiments accordingly also improve on modifying or manipulating alarge set of data that may vary quickly with an underlying financialproduct or object, both by reducing the amount of messages/data whichmust be sent to accomplish the desired modification but also, thereby,reducing the latency of making such changes.

The data transaction processing system may also be configured to matchor attempt to match multi-dimensional orders. Instead of checking eachdiscrete value from one electronic data transaction request messageagainst all discrete values from other electronic data transactionrequest messages for matches for each parameter of a trading variable(e.g., different grade variables), the data transaction processingsystem may compare price frontiers against the resting price frontiersto determine if the frontiers at least intersect, that in turn mayindicate that two multi-dimensional orders match, and a transactiontherebetween should be executed by the data transaction processingsystem.

A multi-dimensional order transaction processing system greatly reducesthe number of recalculations needed to be performed. In the case oftrading financial instruments that derive from, or otherwise depend on,other underlying financial instruments, e.g., options contracts that arederivatives of futures, each shift in the trading prices of anunderlying may result in recalculations and changes to a massive numberof other derivative financial instruments. Thus, the disclosedembodiments may be applicable for trading any derivative instrument.Some financial instruments, e.g., spread instruments, are defined as adifference in prices between other financial instruments. Such spreadfinancial instruments, described below, are also affected each time theprice of an underlying financial instrument changes. The disclosedmulti-dimensional order system minimizes the number of recalculationsthat need to be performed by the client computer each time the price orvalue of an underlying financial instrument changes. The disclosedmulti-dimensional order system also minimizes the number ofrecalculations that need to be performed by the exchange computingsystem when the price or value of an underlying financial instrumentchanges. The disclosed embodiments also reduce the overall messagingfrom client computers to the exchange computing system because theexchange computing system can perform the necessary recalculations upona change in an underlying financial instrument.

The data transaction processing system, may, in one embodiment, operatein a stateful manner, i.e., depend upon historical/prior messagesreceived, and/or rely upon previous results thereof or previousdecisions made, by the transaction processing system. The datatransaction processing system may also access data structures storinginformation about a current environment state to determine if orders ormessages match.

The disclosed embodiments also improve upon the technical field ofnetworking by compressing data by using a much smaller number ofelectronic data transaction request messages, which require lessbandwidth for transmission and less storage, thereby improving networktransmission speeds and reducing network congestion of messagestransmitted to a data transaction processor. The disclosed embodimentsalso improve on the field of data processing by improving the efficiencyand speed with which matches or transactions are performed on a largeset of data. The disclosed embodiments also improve upon the technicalfield of data processing by enabling a data transaction processor toquickly identify acceptable transactions by comparing functions. Thedisclosed system is a specific implementation and practical applicationof a data transaction processor that matches multi-dimensional orders byidentifying intersections/overlapping ranges between data pointsdescribed by the multi-dimensional orders.

At least some of the problems solved by the disclosed encoding systemare specifically rooted in technology, specifically in datacommunications where a large volume of messages is transmitted over anetwork to a data transaction processor, and the messages are frequentlyupdated/modified by the submitter or because the messages derive from anunderlying that is constantly fluctuating, and are solved by means of atechnical solution, namely, enabling orders/requests to define functionsthat can encompass many values across multiple different parameters ofdifferent financial instruments. The disclosed embodiments solve acommunications network-centric problem of sending large amounts ofinter-related messages (e.g., for inter-related financial instruments,or for different parameters of a variable) all configured to beexecuted/processed immediately upon receipt. Accordingly, the resultingproblem is a problem arising in computer systems due to the high volumeof disparate but inter-related messages processed by an exchangecomputing system. The solutions disclosed herein are, in one embodiment,implemented as automatic responses and actions by an exchange computingsystem computer.

The disclosed embodiments may be directed to an exchange computingsystem that includes multiple hardware matching processors that match,or attempt to match, electronic data transaction request messages withother electronic data transaction request messages counter thereto.Incoming electronic data transaction request messages may be receivedfrom different client computers over a data communication network, andoutput electronic data transaction result messages may be transmitted tothe client computers and may be indicative of results of the attempts tomatch incoming electronic data transaction request messages.

The disclosed embodiments may be implemented in association with a datatransaction processing system that processes data items or objects, suchas an exchange computing system. Customer or user devices (e.g., clientcomputers) may submit electronic data transaction request messages,e.g., inbound messages, to the data transaction processing system over adata communication network. The electronic data transaction requestmessages may include, for example, transaction matching parameters, suchas instructions and/or values, for processing the data transactionrequest messages within the data transaction processing system. Theinstructions may be to perform transactions, e.g., buy or sell aquantity of a product at a specified price. Products, e.g., financialinstruments, or order books representing the state of an electronicmarketplace for a product, may be represented as data objects within theexchange computing system. The instructions may also be conditional,e.g., buy or sell a quantity of a product at a given value if a tradefor the product is executed at some other reference value.

A “commodity futures contract” or “futures contract” gives a contractholder an obligation to make or take physical delivery of an associatedcommodity (e.g., corn, wheat, gold, etc.) under the terms of thecontract. Both parties of a futures contract must fulfill the terms ofcontract on the settlement date. The seller delivers the underlyingasset to the buyer. The buyer pays the seller for the underlying asset.Generally, physically delivery of commodities includes taking deliveryof basic resources such as crude oil, etc., agricultural products suchas sugar, coffee beans, soybeans, rice, wheat, corn, soybeans, etc. andmetals such aluminum, gold, silver, etc. An actual physical commodity isdelivered at the completion of a contract, as opposed to a futurescontract on that physical commodity.

The spot market is where financial instruments, such as commodities andsecurities, are traded for immediate delivery. Delivery is the exchangeof cash for the financial instrument. In spot markets, spot trades aremade with spot prices. This varies from a futures market, since afutures contract is a based on delivery of the underlying asset at afuture date. Organized exchanges and over-the-counter (OTC) markets mayprovide spot trading or futures trading. The following embodiments maybe used to provide support for receiving, matching, and reportingmulti-dimensional orders in any market, e.g., futures, options, or spot.

The data transaction processing system may include various specificallyconfigured matching processors that match, e.g., automatically,electronic data transaction request messages for the same one of thedata items or objects. The specifically configured matching processorsmay match, or attempt to match, electronic data transaction requestmessages based on multiple transaction matching parameters from thedifferent client computers. Input electronic data transaction requestmessages may be received from different client computers over a datacommunication network, and output electronic data transaction resultmessages may be transmitted to the client computers and may beindicative of results of the attempts to match incoming electronic datatransaction request messages. The specifically configured matchingprocessors may additionally generate information indicative of a stateof an environment (e.g., the state of the order book) based on theprocessing of the electronic data transaction request messages, andreport this information to data recipient computing systems via outboundmessages published via one or more data feeds that contain electronicdata transaction result messages. While the disclosed embodiments may bedescribed with respect to electronic data transaction request and resultmessages, it will be appreciated that the disclosed embodiments may beimplemented with respect to other technologies later developed, such asphotonic, e.g., light-based, messages.

For example, one exemplary environment where the disclosed embodimentsmay be desirable is in financial markets, and in particular, electronicfinancial exchanges, such as the Chicago Mercantile Exchange Inc. (CME).

Exchange Computing System

An exchange provides one or more markets for the purchase and sale ofvarious types of products including financial instruments such asstocks, bonds, futures contracts, options, currency, cash, and othersimilar instruments. Agricultural products and commodities are alsoexamples of products traded on such exchanges. A futures contract is aproduct that is a contract for the future delivery of another financialinstrument such as a quantity of grains, metals, oils, bonds, currency,or cash. Generally, each exchange establishes a specification for eachmarket provided thereby that defines at least the product traded in themarket, minimum quantities that must be traded, and minimum changes inprice (e.g., tick size). For some types of products (e.g., futures oroptions), the specification further defines a quantity of the underlyingproduct represented by one unit (or lot) of the product, and deliveryand expiration dates. For some types of products (e.g., variablecommodities), the specification may further define variables, stepsizes, premiums, or discounts for use in processing multi-dimensionalorders. As will be described, the exchange may further define thematching algorithm, or rules, by which incoming orders will bematched/allocated to resting orders.

Generally, a market may involve market makers, such as marketparticipants who consistently provide bids and/or offers at specificprices in a manner typically conducive to balancing risk, and markettakers who may be willing to execute transactions at prevailing bids oroffers may be characterized by more aggressive actions so as to maintainrisk and/or exposure as a speculative investment strategy. From analternate perspective, a market maker may be considered a marketparticipant who places an order to sell at a price at which there is nopreviously or concurrently provided counter order. Similarly, a markettaker may be considered a market participant who places an order to buyat a price at which there is a previously or concurrently providedcounter order. A balanced and efficient market may involve both marketmakers and market takers, coexisting in a mutually beneficial basis. Themutual existence, when functioning properly, may facilitate liquidity inthe market such that a market may exist with “tight” bid-ask spreads(e.g., small difference between bid and ask prices) and a “deep” volumefrom many currently provided orders such that large quantity orders maybe executed without driving prices significantly higher or lower.

A financial instrument trading system, such as a futures exchange, suchas the Chicago Mercantile Exchange Inc. (CME), provides a contractmarket where financial instruments, e.g., futures and options onfutures, are traded using electronic systems. “Futures” is a term usedto designate all contracts for the purchase or sale of financialinstruments or physical commodities for future delivery or cashsettlement on a commodity futures exchange. A futures contract is alegally binding agreement to buy or sell a commodity at a specifiedprice at a predetermined future time. An option contract is the right,but not the obligation, to sell or buy the underlying instrument (inthis case, a futures contract) at a specified price on or before acertain expiration date. An option contract offers an opportunity totake advantage of futures price moves without actually having a futuresposition. The commodity to be delivered in fulfillment of the contract,or alternatively the commodity for which the cash market price shalldetermine the final settlement price of the futures contract, is knownas the contract's underlying reference or “underlier.” The underlying orunderlier for an options contract is the corresponding futures contractthat is purchased or sold upon the exercise of the option.

Typically, the terms and conditions of each futures contract arestandardized as to the specification of the contract's underlyingreference commodity, the composition of the commodity, quantity,delivery date, and means of contract settlement. In embodimentsdescribed herein, terms and conditions of each futures contract may bepartially standardized as to the specification of the contract'sunderlying reference commodity and attributes thereof. The underlyingreference commodity may include a range of possible qualities,quantities, delivery dates, and other attributes. For a spot markettransaction, the underlying quality and attributes may be set, while afutures contract may provide predetermined offsets to allow for possiblesettlement of a non-conforming delivery. Cash settlement is a method ofsettling a futures contract whereby the parties effect final settlementwhen the contract expires by paying/receiving the loss/gain related tothe contract in cash, rather than by effecting physical sale andpurchase of the underlying reference commodity at a price determined bythe futures contract, price. Options and futures may be based on moregeneralized market indicators, such as stock indices, interest rates,futures contracts and other derivatives.

An exchange may provide for a centralized “clearing house” through whichtrades made must be confirmed, matched, and settled each day untiloffset or delivered. The clearing house may be an adjunct to anexchange, and may be an operating division of an exchange, which isresponsible for settling trading accounts, clearing trades, collectingand maintaining performance bond funds, regulating delivery, andreporting trading data. One of the roles of the clearing house is tomitigate credit risk. Clearing is the procedure through which theclearing house becomes buyer to each seller of a futures contract, andseller to each buyer, also referred to as a novation, and assumesresponsibility for protecting buyers and sellers from financial loss dueto breach of contract, by assuring performance on each contract. Aclearing member is a firm qualified to clear trades through the clearinghouse.

An exchange computing system may operate under a central counterpartymodel, where the exchange acts as an intermediary between marketparticipants for the transaction of financial instruments. Inparticular, the exchange computing system novates itself into thetransactions between the market participants, i.e., splits a giventransaction between the parties into two separate transactions where theexchange computing system substitutes itself as the counterparty to eachof the parties for that part of the transaction, sometimes referred toas a novation. In this way, the exchange computing system acts as aguarantor and central counterparty and there is no need for the marketparticipants to disclose their identities to each other, or subjectthemselves to credit or other investigations by a potentialcounterparty. For example, the exchange computing system insulates onemarket participant from the default by another market participant.Market participants need only meet the requirements of the exchangecomputing system. Anonymity among the market participants encourages amore liquid market environment as there are lower barriers toparticipation. The exchange computing system can accordingly offerbenefits such as centralized and anonymous matching and clearing.

A match engine within a financial instrument trading system may comprisea transaction processing system that processes a high volume, e.g.,millions, of messages or orders in one day. The messages are typicallysubmitted from market participant computers. Exchange match enginesystems may be subject to variable messaging loads due to variablemarket messaging activity. Performance of a match engine depends to acertain extent on the magnitude of the messaging load and the workneeded to process that message at any given time. An exchange matchengine may process large numbers of messages during times of high volumemessaging activity. With limited processing capacity, high messagingvolumes may increase the response time or latency experienced by marketparticipants.

Electronic messages such as incoming messages from market participants,i.e., “outright” messages, e.g., trade order messages, etc., are sentfrom client devices associated with market participants, or theirrepresentatives, to an electronic trading or market system.

Electronic Trading

Electronic trading of financial instruments, such as futures contracts,is conducted by market participants sending orders, such as to buy orsell one or more futures contracts, in electronic form to the exchange.These electronically submitted orders to buy and sell are then matched,if possible, by the exchange, i.e., by the exchange's matching engine,to execute a trade. Outstanding (unmatched, wholly unsatisfied/unfilledor partially satisfied/filled) orders are maintained in one or more datastructures or databases referred to as “order books,” such orders beingreferred to as “resting,” and made visible, i.e., their availability fortrading is advertised, to the market participants through electronicnotifications/broadcasts, referred to as market data feeds. An orderbook is typically maintained for each product, e.g., instrument, tradedon the electronic trading system and generally defines or otherwiserepresents the state of the market for that product, i.e., the currentprices at which the market participants are willing buy or sell thatproduct. As such, as used herein, an order book for a product may alsobe referred to as a market for that product.

Upon receipt of an incoming order to trade in a particular financialinstrument, whether for a single-component financial instrument, e.g., asingle futures contract, or for a multiple-component financialinstrument, e.g., a combination contract such as a spread contract, amatch engine, as described herein, will attempt to identify a previouslyreceived but unsatisfied order counter thereto, i.e., for the oppositetransaction (buy or sell) in the same financial instrument at the sameor better price (but not necessarily for the same quantity unless, forexample, either order specifies a condition that it must be entirelyfilled or not at all).

In one embodiment, traders may buy and sell the disclosed trackingfinancial instrument instead of a futures contract that is associatedwith an underlying asset, where the futures contract may be settled bydelivery of the underlying asset or by cash settlement.

Previously received but unsatisfied orders, i.e., orders which eitherdid not match with a counter order when they were received or theirquantity was only partially satisfied, referred to as a partial fill,are maintained by the electronic trading system in an order bookdatabase/data structure to await the subsequent arrival of matchingorders or the occurrence of other conditions which may cause the orderto be modified or otherwise removed from the order book.

If the match engine identifies one or more suitable previously receivedbut unsatisfied counter orders, they, and the incoming order, arematched to execute a trade there between to at least partially satisfythe quantities of one or both the incoming order or the identifiedorders. If there remains any residual unsatisfied quantity of theidentified one or more orders, those orders are left on the order bookwith their remaining quantity to await a subsequent suitable counterorder, i.e., to rest. If the match engine does not identify a suitablepreviously received but unsatisfied counter order, or the one or moreidentified suitable previously received but unsatisfied counter ordersare for a lesser quantity than the incoming order, the incoming order isplaced on the order book, referred to as “resting”, with original orremaining unsatisfied quantity, to await a subsequently receivedsuitable order counter thereto. The match engine then generates matchevent data reflecting the result of this matching process. Othercomponents of the electronic trading system, as will be described, thengenerate the respective order acknowledgment and market data messagesand transmit those messages to the market participants.

Matching, which is a function typically performed by the exchange, is aprocess, for a given order which specifies a desire to buy or sell aquantity of a particular instrument at a particular price, ofseeking/identifying one or more wholly or partially, with respect toquantity, satisfying counter orders thereto, e.g., a sell counter to anorder to buy, or vice versa, for the same instrument at the same, orsometimes better, price (but not necessarily the same quantity), whichare then paired for execution to complete a trade between the respectivemarket participants (via the exchange) and at least partially satisfythe desired quantity of one or both of the order and/or the counterorder, with any residual unsatisfied quantity left to await anothersuitable counter order, referred to as “resting.” A match event mayoccur, for example, when an aggressing order matches with a restingorder. In one embodiment, two orders match because one order includesinstructions for or specifies buying a quantity of a particularinstrument at a particular price, and the other order includesinstructions for or specifies selling a (different or same) quantity ofthe instrument at a same or better price. It should be appreciated thatperforming an instruction associated with a message may includeattempting to perform the instruction. Whether or not an exchangecomputing system is able to successfully perform an instruction maydepend on the state of the electronic marketplace.

While the disclosed embodiments will be described with respect to aproduct by product or market by market implementation, e.g. implementedfor each market/order book, it will be appreciated that the disclosedembodiments may be implemented so as to apply across markets formultiple products traded on one or more electronic trading systems, suchas by monitoring an aggregate, correlated or other derivation of therelevant indicative parameters as described herein.

While the disclosed embodiments may be discussed in relation to futuresand/or options on futures trading, it should be appreciated that thedisclosed embodiments may be applicable to any equity, fixed incomesecurity, currency, commodity, options or futures trading system ormarket now available or later developed. It may be appreciated that atrading environment, such as a futures exchange as described herein,implements one or more economic markets where rights and obligations maybe traded. As such, a trading environment may be characterized by a needto maintain market integrity, transparency, predictability,fair/equitable access and participant expectations with respect thereto.In addition, it may be appreciated that electronic trading systemsfurther impose additional expectations and demands by marketparticipants as to transaction processing speed, latency, capacity andresponse time, while creating additional complexities relating thereto.Accordingly, as will be described, the disclosed embodiments may furtherinclude functionality to ensure that the expectations of marketparticipants are met, e.g., that transactional integrity and predictablesystem responses are maintained.

Financial instrument trading systems allow traders to submit orders andreceive confirmations, market data, and other information electronicallyvia electronic messages exchanged using a network. Electronic tradingsystems ideally attempt to offer a more efficient, fair and balancedmarket where market prices reflect a true consensus of the value oftraded products among the market participants, where the intentional orunintentional influence of any one market participant is minimized ifnot eliminated, and where unfair or inequitable advantages with respectto information access are minimized if not eliminated.

Electronic marketplaces attempt to achieve these goals by usingelectronic messages to communicate actions and related data of theelectronic marketplace between market participants, clearing firms,clearing houses, and other parties. The messages can be received usingan electronic trading system, wherein an action or transactionassociated with the messages may be executed. For example, the messagemay contain information relating to an order to buy or sell a product ina particular electronic marketplace, and the action associated with themessage may indicate that the order is to be placed in the electronicmarketplace such that other orders which were previously placed maypotentially be matched to the order of the received message. Thus, theelectronic marketplace may conduct market activities through electronicsystems.

As may be perceived/experienced by the market participants from outsidethe Exchange or electronic trading system operated thereby, thefollowing sequence describes how, at least in part, information may bepropagated in such a system and how orders may be processed: (1) Anopportunity is created at a matching engine of the Exchange, such as byplacing a recently received but unmatched order on the order book torest; (2) The matching engine creates an update reflecting theopportunity and sends it to a feed engine; (3) The feed enginemulticasts it to all of the market participants to advertise theopportunity to trade; (4) The market participants evaluate theopportunity and each, upon completion of their evaluation, may or maynot choose to respond with an order responsive to the resting order,i.e. counter to the resting order; (5) The Exchange gateway receives anycounter orders generated by the market participants, sends confirmationof receipt back directly to each submitting market participant, andforwards the received orders to the matching engine; and (6) Thematching engine evaluates the received orders and matches the firstarriving order against the resting opportunity and a trade is executed.

1. Electronic Data Transaction Request/Result Messages and Market DataFeeds

As used herein, a financial message, or an electronic message, refersboth to messages communicated by market participants to an electronictrading or market system and vice versa. The messages may becommunicated using packets or other techniques operable to communicateinformation between systems and system components. Some messages may beassociated with actions to be taken in the electronic trading or marketsystem. In particular, in one embodiment, upon receipt of a request, atoken is allocated and included in a TCP shallow acknowledgmenttransmission sent back to the participant acknowledging receipt of therequest. It should be appreciated that while this shallow acknowledgmentis, in some sense, a response to the request, it does not confirm theprocessing of an order included in the request. The participant, i.e.,their device, then sends back a TCP acknowledgment which acknowledgesreceipt of the shallow acknowledgment and token.

Financial messages communicated to the electronic trading system, alsoreferred to as “inbound” messages, may include associated actions thatcharacterize the messages, such as trader orders, order modifications,order cancellations and the like, as well as other message types.Inbound messages may be sent from client devices associated with marketparticipants, or their representatives, e.g., trade order messages,etc., to an electronic trading or market system. For example, a marketparticipant may submit an electronic message to the electronic tradingsystem that includes an associated specific action to be undertaken bythe electronic trading system, such as entering a new trade order intothe market or modifying an existing order in the market. In oneembodiment, if a participant wishes to modify a previously sent request,e.g., a prior order which has not yet been processed or traded, they maysend a request message comprising a request to modify the prior request.In one exemplary embodiment, the incoming request itself, e.g., theinbound order entry, may be referred to as an iLink message. iLink is abidirectional communications/message protocol/message format implementedby the Chicago Mercantile Exchange Inc.

Financial messages communicated from the electronic trading system,referred to as “outbound” messages, may include messages responsive toinbound messages, such as confirmation messages, or other messages suchas market update messages, quote messages, and the like. Outboundmessages, or electronic data transaction result messages, may bedisseminated via data feeds.

Financial messages may further be categorized as having or reflecting animpact on a market or electronic marketplace, also referred to as an“order book” or “book,” for a traded product, such as a prevailing pricetherefore, number of resting orders at various price levels andquantities thereof, etc., or not having or reflecting an impact on amarket or a subset or portion thereof. In one embodiment, an electronicorder book may be understood to be an electronic collection of theoutstanding or resting orders for a financial instrument.

For example, a request to place a trade may result in a responseindicative of the trade either being matched with, or being rested on anorder book to await, a suitable counter-order. This response may includea message directed solely to the trader who submitted the order toacknowledge receipt of the order and report whether it was matched, andthe extent thereto, or rested. The response may further include amessage to all market participants reporting a change in the order bookdue to the order, or an electronic data transaction result message. Thisresponse may take the form of a report of the specific change to theorder book, e.g., an order for quantity X at price Y was added to thebook (referred to, in one embodiment, as a Market By Order message), ormay simply report the result, e.g., price level Y now has orders for atotal quantity of Z (where Z is the sum of the previous resting quantityplus quantity X of the new order). In some cases, requests may elicit anon-impacting response, such as temporally proximate to the receipt ofthe request, and then cause a separate market-impact reflecting responseat a later time. For example, a stop order, fill or kill order (FOK),also known as an immediate or cancel order, or other conditional requestmay not have an immediate market impacting effect, if at all, until therequisite conditions are met.

An acknowledgement or confirmation of receipt, e.g., a non-marketimpacting communication, may be sent to the trader simply confirmingthat the order was received. Upon the conditions being met and a marketimpacting result thereof occurring, a market-impacting message may betransmitted as described herein both directly back to the submittingmarket participant and to all market participants (in a Market By Price“MBP”, or Market By Order “MBO”). It should be appreciated thatadditional conditions may be specified, such as a time or price limit,which may cause the order to be dropped or otherwise canceled and thatsuch an event may result in another non-market-impacting communicationinstead. In some implementations, market impacting communications may becommunicated separately from non-market impacting communications, suchas via a separate communications channel or feed.

For additional details and descriptions of different market data feeds,see U.S. Patent Publication No. 2017/0331774, filed on May 16, 2016,entitled “Systems and Methods for Consolidating Multiple Feed Data”,assigned to the assignee of the present application, the entirety ofwhich is incorporated by reference herein and relied upon.

It should be further appreciated that various types of market data feedsmay be provided which reflect different markets or aspects thereof.Market participants may then, for example, subscribe to receive thosefeeds of interest to them. For example, data recipient computing systemsmay choose to receive one or more different feeds. As market impactingcommunications usually tend to be more important to market participantsthan non-impacting communications, this separation may reduce congestionand/or noise among those communications having or reflecting an impacton a market or portion thereof. Furthermore, a particular market datafeed may only communicate information related to the top buy/sell pricesfor a particular product, referred to as “top of book” feed, e.g., onlychanges to the top 10 price levels are communicated. Such limitationsmay be implemented to reduce consumption of bandwidth and messagegeneration resources. In this case, while a request message may beconsidered market-impacting if it affects a price level other than thetop buy/sell prices, it will not result in a message being sent to themarket participants.

Examples of the various types of market data feeds which may be providedby electronic trading systems, such as the CME, in order to providedifferent types or subsets of market information or to provide suchinformation in different formats include Market By Order, Market Depth(also known as Market by Price to a designated depth of the book), e.g.,CME offers a 10-deep market by price feed, Top of Book (a single depthMarket by Price feed), and combinations thereof. There may also be allmanner of specialized feeds in terms of the content, i.e., providing,for example, derived data, such as a calculated index.

Market data feeds may be characterized as providing a “view” or“overview” of a given market, an aggregation or a portion thereof orchanges thereto. For example, a market data feed, such as a Market ByPrice (“MBP”) feed, may convey, with each message, the entire/currentstate of a market, or portion thereof, for a particular product as aresult of one or more market impacting events. For example, an MBPmessage may convey a total quantity of resting buy/sell orders at aparticular price level in response to a new order being placed at thatprice. An MBP message may convey a quantity of an instrument which wastraded in response to an incoming order being matched with one or moreresting orders. MBP messages may only be generated for events affectinga portion of a market, e.g., only the top 10 resting buy/sell ordersand, thereby, only provide a view of that portion. As used herein, amarket impacting request may be said to impact the “view” of the marketas presented via the market data feed.

An MBP feed may utilize different message formats for conveyingdifferent types of market impacting events. For example, when a neworder is rested on the order book, an MBP message may reflect thecurrent state of the price level to which the order was added, e.g., thenew aggregate quantity and the new aggregate number of resting orders.As can be seen, such a message conveys no information about theindividual resting orders, including the newly rested order, themselvesto the market participants. Only the submitting market participant, whoreceives a separate private message acknowledging the event, knows thatit was their order that was added to the book. Similarly, when a tradeoccurs, an MBP message may be sent which conveys the price at which theinstrument was traded, the quantity traded and the number ofparticipating orders, but may convey no information as to whoseparticular orders contributed to the trade. MBP feeds may further batchreporting of multiple events, i.e., report the result of multiple marketimpacting events in a single message.

Alternatively, a market data feed, referred to as a Market By Order(“MBO”) feed, may convey data reflecting a change that occurred to theorder book rather than the result of that change, e.g., that order ABCfor quantity X was added to price level Y or that order ABC and orderXYZ traded a quantity X at a price Y. In this case, the MBO messageidentifies only the change that occurred so a market participant wishingto know the current state of the order book must maintain their own copyand apply the change reflected in the message to know the current state.As can be seen, MBO messages may carry much more data than MBP messagesbecause MBO messages reflect information about each order, whereas MBPmessages contain information about orders affecting some predeterminedvalue levels. Furthermore, because specific orders, but not thesubmitting traders thereof, are identified, other market participantsmay be able to follow that order as it progresses through the market,e.g., as it is modified, canceled, traded, etc.

An MBP book data object may include information about multiple values.The MBP book data object may be arranged and structured so thatinformation about each value is aggregated together. Thus, for a givenvalue V (e.g., a price), the MBP book data object may aggregate all theinformation by value, such as for example, the number of orders having acertain position at value V, the quantity of total orders resting atvalue V, etc. Thus, the value field may be the key, or may be a uniquefield, within an MBP book data object. In one embodiment, the value foreach entry within the MBP book data object is different. In oneembodiment, information in an MBP book data object is presented in amanner such that the value field is the most granular field ofinformation.

An MBO book data object may include information about multiple orders.The MBO book data object may be arranged and structured so thatinformation about each order is represented. Thus, for a given order O,the MBO book data object may provide all of the information for order O.Thus, the order field may be the key, or may be a unique field, withinan MBO book data object. In one embodiment, the order ID for each entrywithin the MBO book data object is different. In one embodiment,information in an MBO book data object is presented in a manner suchthat the order field is the most granular field of information.

Thus, the MBO book data object may include data about unique orders,e.g., all unique resting orders for a product, and the MBP book dataobject may include data about unique values, e.g., up to a predeterminedlevel, e.g., top ten price or value levels, for a product.

It should be appreciated that the number, type and manner of market datafeeds provided by an electronic trading system are implementationdependent and may vary depending upon the types of products traded bythe electronic trading system, customer/trader preferences, bandwidthand data processing limitations, etc. and that all such feeds, nowavailable or later developed, are contemplated herein. MBP and MBO feedsmay refer to categories/variations of market data feeds, distinguishedby whether they provide an indication of the current state of a marketresulting from a market impacting event (MBP) or an indication of thechange in the current state of a market due to a market impacting event(MBO).

Messages, whether MBO or MBP, generated responsive to market impactingevents which are caused by a single order, such as a new order, an ordercancellation, an order modification, etc., are fairly simple and compactand easily created and transmitted. However, messages, whether MBO orMBP, generated responsive to market impacting events which are caused bymore than one order, such as a trade, may require the transmission of asignificant amount of data to convey the requisite information to themarket participants. For trades involving a large number of orders,e.g., a buy order for a quantity of 5000 which matches 5000 sell orderseach for a quantity of 1, a significant amount of information may needto be sent, e.g., data indicative of each of the 5000 trades that haveparticipated in the market impacting event.

In one embodiment, an exchange computing system may generate multipleorder book objects, one for each type of view that is published orprovided. For example, the system may generate an MBO book object and anMBP book object. It should be appreciated that each book object, or viewfor a product or market, may be derived from the MBO book object, whichincludes all the orders for a given financial product or market.

An inbound message may include an order that affects the MBO bookobject, the MBP book object, or both. An outbound message may includedata from one or more of the structures within the exchange computingsystem, e.g., the MBO book object queues or the MBP book object queues.

Furthermore, each participating trader needs to receive a notificationthat their particular order has traded. Continuing with the example,this may require sending 5001 individual trade notification messages, oreven 10,000+ messages where each contributing side (buy vs. sell) isseparately reported, in addition to the notification sent to all of themarket participants.

As detailed in U.S. Patent Publication No. 2015/0161727, the entirety ofwhich is incorporated by reference herein and relied upon, it may berecognized that trade notifications sent to all market participants mayinclude redundant information repeated for each participating trade anda structure of an MBP trade notification message may be provided whichresults in a more efficient communication of the occurrence of a trade.The message structure may include a header portion which indicates thetype of transaction which occurred, i.e., a trade, as well as othergeneral information about the event, an instrument portion whichcomprises data about each instrument which was traded as part of thetransaction, and an order portion which comprises data about eachparticipating order. In one embodiment, the header portion may include amessage type, Transaction Time, Match Event Indicator, and Number ofMarket Data Entries (“No. MD Entries”) fields. The instrument portionmay include a market data update action indicator (“MD Update Action”),an indication of the Market Data Entry Type (“MD Entry Type”), anidentifier of the instrument/security involved in the transaction(“Security ID”), a report sequence indicator (“Rpt Seq”), the price atwhich the instrument was traded (“MD Entry PX”), the aggregate quantitytraded at the indicated price (“ConsTradeQty”), the number ofparticipating orders (“NumberOfOrders”), and an identifier of theaggressor side (“Aggressor Side”) fields. The order portion may furtherinclude an identifier of the participating order (“Order ID”), describedin more detail below, and the quantity of the order traded (“MD EntrySize”) fields. It should be appreciated that the particular fieldsincluded in each portion are implementation dependent and that differentfields in addition to, or in lieu of, those listed may be includeddepending upon the implementation. It should be appreciated that theexemplary fields can be compliant with the FIX binary and/or FIX/FASTprotocol for the communication of the financial information.

The instrument portion contains a set of fields, e.g., seven fieldsaccounting for 23 bytes, which are repeated for each participatinginstrument. In complex trades, such as trades involving combinationorders or strategies, e.g., spreads, or implied trades, there may bemultiple instruments being exchanged among the parties. In oneembodiment, the order portion includes only one field, accounting for 4bytes, for each participating order which indicates the quantity of thatorder which was traded. As will be discussed below, the order portionmay further include an identifier of each order, accounting for anadditional 8 bytes, in addition to the quantity thereof traded. Asshould be appreciated, data which would have been repeated for eachparticipating order, is consolidated or otherwise summarized in theheader and instrument portions of the message thereby eliminatingredundant information and, overall, significantly reducing the size ofthe message.

The disclosed embodiments may be applicable to the use of either an MBPmarket data feed and/or an MBO market data feed.

Matching and Transaction Processing

Market participants, e.g., traders, use software to send orders ormessages to the trading platform. The order identifies the product, thequantity of the product the trader wishes to trade, a price at which thetrader wishes to trade the product, and a direction of the order (i.e.,whether the order is a bid, i.e., an offer to buy, or an ask, i.e., anoffer to sell). It will be appreciated that there may be other ordertypes or messages that traders can send including requests to modify orcancel a previously submitted order.

The exchange computer system monitors incoming orders received therebyand attempts to identify, i.e., match or allocate, as described herein,one or more previously received, but not yet matched, orders, i.e.,limit orders to buy or sell a given quantity at a given price, referredto as “resting” orders, stored in an order book database, wherein eachidentified order is contra to the incoming order and has a favorableprice relative to the incoming order. An incoming order may be an“aggressor” order, i.e., a market order to sell a given quantity atwhatever may be the current resting bid order price(s) or a market orderto buy a given quantity at whatever may be the current resting ask orderprice(s). An incoming order may be a “market making” order, i.e., amarket order to buy or sell at a price for which there are currently noresting orders. In particular, if the incoming order is a bid, i.e., anoffer to buy, then the identified order(s) will be an ask, i.e., anoffer to sell, at a price that is identical to or higher than the bidprice. Similarly, if the incoming order is an ask, i.e., an offer tosell, the identified order(s) will be a bid, i.e., an offer to buy, at aprice that is identical to or lower than the offer price.

An exchange computing system may receive conditional orders or messagesfor a data object, where the order may include two prices or values: areference value and a stop value. A conditional order may be configuredso that when a product represented by the data object trades at thereference price, the stop order is activated at the stop value. Forexample, if the exchange computing system's order management module(described below) includes a stop order with a stop price of 5 and alimit price of 1 for a product, and a trade at 5 (i.e., the stop priceof the stop order) occurs, then the exchange computing system attemptsto trade at 1 (i.e., the limit price of the stop order). In other words,a stop order is a conditional order to trade (or execute) at the limitprice that is triggered (or elected) when a trade at the stop priceoccurs.

Stop orders also rest on, or are maintained in, an order book to monitorfor a trade at the stop price, which triggers an attempted trade at thelimit price. In some embodiments, a triggered limit price for a stoporder may be treated as an incoming order.

Upon identification (matching) of a contra order(s), a minimum of thequantities associated with the identified order and the incoming orderis matched and that quantity of each of the identified and incomingorders become two halves of a matched trade that is sent to a clearinghouse. The exchange computer system considers each identified order inthis manner until either all of the identified orders have beenconsidered or all of the quantity associated with the incoming order hasbeen matched, i.e., the order has been filled. If any quantity of theincoming order remains, an entry may be created in the order bookdatabase and information regarding the incoming order is recordedtherein, i.e., a resting order is placed on the order book for theremaining quantity to await a subsequent incoming order counter thereto.

It should be appreciated that in electronic trading systems implementedvia an exchange computing system, a trade price (or match value) maydiffer from (i.e., be better for the submitter, e.g., lower than asubmitted buy price or higher than a submitted sell price) the limitprice that is submitted, e.g., a price included in an incoming message,or a triggered limit price from a stop order.

As used herein, “better” than a reference value means lower than thereference value if the transaction is a purchase (or acquire)transaction, and higher than the reference value if the transaction is asell transaction. Said another way, for purchase (or acquire)transactions, lower values are better, and for sell (or relinquish)transactions, higher values are better.

Traders access the markets on a trading platform using trading softwarethat receives and displays at least a portion of the order book for amarket, i.e., at least a portion of the currently resting orders,enables a trader to provide parameters for an order for the producttraded in the market, and transmits the order to the exchange computersystem. The trading software typically includes a graphical userinterface to display at least a price and quantity of some of theentries in the order book associated with the market. The number ofentries of the order book displayed is generally preconfigured by thetrading software, limited by the exchange computer system, or customizedby the user. Some graphical user interfaces display order books ofmultiple markets of one or more trading platforms. The trader may be anindividual who trades on his/her behalf, a broker trading on behalf ofanother person or entity, a group, or an entity. Furthermore, the tradermay be a system that automatically generates and submits orders.

If the exchange computer system identifies that an incoming market ordermay be filled by a combination of multiple resting orders, e.g., theresting order at the best price only partially fills the incoming order,the exchange computer system may allocate the remaining quantity of theincoming, i.e., that which was not filled by the resting order at thebest price, among such identified orders in accordance withprioritization and allocation rules/algorithms, referred to as“allocation algorithms” or “matching algorithms,” as, for example, maybe defined in the specification of the particular financial product ordefined by the exchange for multiple financial products. Similarly, ifthe exchange computer system identifies multiple orders contra to theincoming limit order and that have an identical price which is favorableto the price of the incoming order, i.e., the price is equal to orbetter, e.g., lower if the incoming order is a buy (or instruction topurchase, or instruction to acquire) or higher if the incoming order isa sell (or instruction to relinquish), than the price of the incomingorder, the exchange computer system may allocate the quantity of theincoming order among such identified orders in accordance with thematching algorithms as, for example, may be defined in the specificationof the particular financial product or defined by the exchange formultiple financial products.

An exchange responds to inputs, such as trader orders, cancellation,etc., in a manner as expected by the market participants, such as basedon market data, e.g., prices, available counter-orders, etc., to providean expected level of certainty that transactions will occur in aconsistent and predictable manner and without unknown or unascertainablerisks. Accordingly, the method by which incoming orders are matched withresting orders must be defined so that market participants have anexpectation of what the result will be when they place an order or haveresting orders and an incoming order is received, even if the expectedresult is, in fact, at least partially unpredictable due to somecomponent of the process being random or arbitrary or due to marketparticipants having imperfect or less than all information, e.g.,unknown position of an order in an order book. Typically, the exchangedefines the matching/allocation algorithm that will be used for aparticular financial product, with or without input from the marketparticipants. Once defined for a particular product, thematching/allocation algorithm is typically not altered, except inlimited circumstance, such as to correct errors or improve operation, soas not to disrupt trader expectations. It will be appreciated thatdifferent products offered by a particular exchange may use differentmatching algorithms.

For example, a first-in/first-out (FIFO) matching algorithm, alsoreferred to as a “Price Time” algorithm, considers each identified ordersequentially in accordance with when the identified order was received.The quantity of the incoming order is matched to the quantity of theidentified order at the best price received earliest, then quantities ofthe next earliest best price orders, and so on until the quantity of theincoming order is exhausted. Some product specifications define the useof a pro-rata matching algorithm, wherein a quantity of an incomingorder is allocated to each of plurality of identified ordersproportionally. Some exchange computer systems provide a priority tocertain standing orders in particular markets. An example of such anorder is the first order that improves a price (i.e., improves themarket) for the product during a trading session. To be given priority,the trading platform may require that the quantity associated with theorder is at least a minimum quantity. Further, some exchange computersystems cap the quantity of an incoming order that is allocated to astanding order on the basis of a priority for certain markets. Inaddition, some exchange computer systems may give a preference to orderssubmitted by a trader who is designated as a market maker for theproduct. Other exchange computer systems may use other criteria todetermine whether orders submitted by a particular trader are given apreference. Typically, when the exchange computer system allocates aquantity of an incoming order to a plurality of identified orders at thesame price, the trading host allocates a quantity of the incoming orderto any orders that have been given priority. The exchange computersystem thereafter allocates any remaining quantity of the incoming orderto orders submitted by traders designated to have a preference, and thenallocates any still remaining quantity of the incoming order using theFIFO or pro-rata algorithms. Pro-rata algorithms used in some marketsmay require that an allocation provided to a particular order inaccordance with the pro-rata algorithm must meet at least a minimumallocation quantity. Any orders that do not meet or exceed the minimumallocation quantity are allocated to on a FIFO basis after the pro-rataallocation (if any quantity of the incoming order remains). Moreinformation regarding order allocation may be found in U.S. Pat. No.7,853,499, the entirety of which is incorporated by reference herein andrelied upon.

Other examples of matching algorithms which may be defined forallocation of orders of a particular financial product include: PriceExplicit Time; Order Level Pro Rata; Order Level Priority Pro Rata;Preference Price Explicit Time; Preference Order Level Pro Rata;Preference Order Level Priority Pro Rata; Threshold Pro-Rata; PriorityThreshold Pro-Rata; Preference Threshold Pro-Rata; Priority PreferenceThreshold Pro-Rata; and Split Price-Time Pro-Rata, which are describedin U.S. patent application Ser. No. 13/534,499, filed on Jun. 27, 2012,entitled “Multiple Trade Matching Algorithms,” published as U.S. PatentApplication Publication No. 2014/0006243 A1, the entirety of which isincorporated by reference herein and relied upon.

With respect to incoming orders, some traders, such as automated and/oralgorithmic traders, attempt to respond to market events, such as tocapitalize upon a mispriced resting order or other market inefficiency,as quickly as possible. This may result in penalizing the trader whomakes an errant trade, or whose underlying trading motivations havechanged, and who cannot otherwise modify or cancel their order fasterthan other traders can submit trades there against. It may consideredthat an electronic trading system that rewards the trader who submitstheir order first creates an incentive to either invest substantialcapital in faster trading systems, participate in the marketsubstantially to capitalize on opportunities (aggressor side/lower risktrading) as opposed to creating new opportunities (market making/higherrisk trading), modify existing systems to streamline business logic atthe cost of trade quality, or reduce one's activities and exposure inthe market. The result may be a lesser quality market and/or reducedtransaction volume, and corresponding thereto, reduced fees to theexchange.

With respect to resting orders, allocation/matching suitable restingorders to match against an incoming order can be performed, as describedherein, in many different ways. Generally, it will be appreciated thatallocation/matching algorithms are only needed when the incoming orderquantity is less than the total quantity of the suitable resting ordersas, only in this situation, is it necessary to decide which restingorder(s) will not be fully satisfied, which trader(s) will not get theirorders filled. It can be seen from the above descriptions of thematching/allocation algorithms, that they fall generally into threecategories: time priority/first-in-first-out (“FIFO”), pro rata, or ahybrid of FIFO and pro rata.

FIFO generally rewards the first trader to place an order at aparticular price and maintains this reward indefinitely. So, if a traderis the first to place an order at price X, no matter how long that orderrests and no matter how many orders may follow at the same price, assoon as a suitable incoming order is received, that first trader will bematched first. This “first mover” system may commit other traders topositions in the queue after the first move traders. Furthermore, whileit may be beneficial to give priority to a trader who is first to placean order at a given price because that trader is, in effect, taking arisk, the longer that the trader's order rests, the less beneficial itmay be. For instance, it could deter other traders from adding liquidityto the marketplace at that price because they know the first mover (andpotentially others) already occupies the front of the queue.

With a pro rata allocation, incoming orders are effectively split amongsuitable resting orders. This provides a sense of fairness in thateveryone may get some of their order filled. However, a trader who tooka risk by being first to place an order (a “market turning” order) at aprice may end up having to share an incoming order with a much latersubmitted order. Furthermore, as a pro rata allocation distributes theincoming order according to a proportion based on the resting orderquantities, traders may place orders for large quantities, which theyare willing to trade but may not necessarily want to trade, in order toincrease the proportion of an incoming order that they will receive.This results in an escalation of quantities on the order book andexposes a trader to a risk that someone may trade against one of theseorders and subject the trader to a larger trade than they intended. Inthe typical case, once an incoming order is allocated against theselarge resting orders, the traders subsequently cancel the remainingresting quantity which may frustrate other traders. Accordingly, as FIFOand pro rata both have benefits and problems, exchanges may try to usehybrid allocation/matching algorithms which attempt to balance thesebenefits and problems by combining FIFO and pro rata in some manner.However, hybrid systems define conditions or fixed rules to determinewhen FIFO should be used and when pro rata should be used. For example,a fixed percentage of an incoming order may be allocated using a FIFOmechanism with the remainder being allocated pro rata.

Clearing House

The clearing house of an exchange clears, settles and guarantees matchedtransactions in contracts occurring through the facilities of theexchange. In addition, the clearing house establishes and monitorsfinancial requirements for clearing members and conveys certain clearingprivileges in conjunction with the relevant exchange markets. Theclearing house also regulates the delivery process.

The clearing house establishes clearing level performance bonds(margins) for all products of the exchange and establishes minimumperformance bond requirements for customers of such products. Aperformance bond, also referred to as a margin requirement, correspondswith the funds that must be deposited by a customer with his or herbroker, by a broker with a clearing member or by a clearing member withthe clearing house, for the purpose of insuring the broker or clearinghouse against loss on open futures or options contracts. This is not apart payment on a purchase. The performance bond helps to ensure thefinancial integrity of brokers, clearing members and the exchange as awhole. The performance bond refers to the minimum dollar depositrequired by the clearing house from clearing members in accordance withtheir positions. Maintenance, or maintenance margin, refers to a sum,usually smaller than the initial performance bond, which must remain ondeposit in the customer's account for any position at all times. Theinitial margin is the total amount of margin per contract required bythe broker when a futures position is opened. A drop in funds below thislevel requires a deposit back to the initial margin levels, i.e., aperformance bond call. If a customer's equity in any futures positiondrops to or under the maintenance level because of adverse price action,the broker must issue a performance bond/margin call to restore thecustomer's equity. A performance bond call, also referred to as a margincall, is a demand for additional funds to bring the customer's accountback up to the initial performance bond level whenever adverse pricemovements cause the account to go below the maintenance.

The exchange derives its financial stability in large part by removingdebt obligations among market participants as they occur. This isaccomplished by determining a settlement price at the close of themarket each day for each contract and marking all open positions to thatprice, referred to as “mark to market.” Every contract is debited orcredited based on that trading session's gains or losses. As prices movefor or against a position, funds flow into and out of the tradingaccount. In the case of the CME, each business day by 6:40 a.m. Chicagotime, based on the mark-to-the-market of all open positions to theprevious trading day's settlement price, the clearing house pays to orcollects cash from each clearing member. This cash flow, known assettlement variation, is performed by CME's settlement banks based oninstructions issued by the clearing house. All payments to andcollections from clearing members are made in “same-day” funds. Inaddition to the 6:40 a.m. settlement, a daily intra-day mark-to-themarket of all open positions, including trades executed during theovernight GLOBEX®, the CME's electronic trading systems, trading sessionand the current day's trades matched before 11:15 a.m., is performedusing current prices. The resulting cash payments are made intra-day forsame day value. In times of extreme price volatility, the clearing househas the authority to perform additional intra-day mark-to-the-marketcalculations on open positions and to call for immediate payment ofsettlement variation. CME's mark-to-the-market settlement system maydiffer from the settlement systems implemented by many other financialmarkets, including the interbank, Treasury securities, over-the-counterforeign exchange and debt, options, and equities markets, whereparticipants regularly assume credit exposure to each other. In thosemarkets, the failure of one participant can have a ripple effect on thesolvency of the other participants. Conversely, CME's mark-to-the-marketsystem may not allow losses to accumulate over time or allow a marketparticipant the opportunity to defer losses associated with marketpositions.

While the disclosed embodiments may be described in reference to theCME, it should be appreciated that these embodiments are applicable toany exchange. Such other exchanges may include a clearing house that,like the CME clearing house, clears, settles and guarantees all matchedtransactions in contracts of the exchange occurring through itsfacilities. In addition, such clearing houses establish and monitorfinancial requirements for clearing members and convey certain clearingprivileges in conjunction with the relevant exchange markets.

The disclosed embodiments are also not limited to uses by a clearinghouse or exchange for purposes of enforcing a performance bond or marginrequirement. For example, a market participant may use the disclosedembodiments in a simulation or other analysis of a portfolio. In suchcases, the settlement price may be useful as an indication of a value atrisk and/or cash flow obligation rather than a performance bond. Thedisclosed embodiments may also be used by market participants or otherentities to forecast or predict the effects of a prospective position onthe margin requirement of the market participant.

Clearing houses, like the CME clearing house may specify the conditionsof delivery for the contracts they cover. The exchange designateswarehouse and delivery locations for many commodities. When deliverytakes place, a warrant or bearer receipt that represents a certainquantity and quality of a commodity in a specific location changes handsfrom the seller to the buyer who then makes full payment. The buyer hasthe right to remove the commodity from the warehouse or has the optionof leaving the commodity at the storage facility for a periodic fee. Thebuyer could also arrange with the warehouse to transport the commodityto another location of his or her choice, including his or her home, andpays any transportation fees. In addition to delivery specificationsstipulated by the exchanges, the quality, grade, or nature of theunderlying asset to be delivered are also regulated by the exchanges.

The delivery process may involve several deadlines that are handled bythe Exchange clearinghouse. Different commodities may include differentparameters and timing for delivery. The first deadline of an exampledelivery process is called position day. This is the day that the shortposition holder in the market indicates to the exchange clearinghousethat the holder intends to make delivery on his futures position andregisters a shipping certificate in the clearing delivery system. Also,starting on the first position day, each FCM must report all of theiropen long positions to the clearinghouse. The clearinghouse ranks thelong positions according to the amount of time they have been open andassigns the oldest long position to the short position holder that hasgiven his intention to deliver.

At a second deadline, referred to as notice day, the short positionholder and long position holder receive notification that they have beenmatched, and the long position holder receives an invoice from theclearinghouse. A third deadline is the actual delivery day. The longposition holder makes payment to clearinghouse, and the clearinghousesimultaneously transfers the payment from the long to the short positionholder and transfers the shipping certificate from the short to the longposition holder. Now the long position holder is the owner of theshipping certificate and the participant has several options. In anexample of grain, the participant can hold the certificate indefinitely,but must pay the warehouse that issued the certificate storage charges,that are collected and distributed monthly by the clearing house. Theparticipant can cancel the shipping certificate and order the issuingwarehouse to load-out the physical commodity into a conveyance that heplaces at the issuing warehouse. The participant can transfer or sellthe certificate to someone else. Or the participant can go back into thefutures market and open a new position by selling futures, in which casehe now becomes the short position holder. The participant may theninitiate a new three-day delivery process, that would entail re-deliveryof the warehouse certificate the participant now owns. During this time,the participant will continue to pay storage charges to the warehouseuntil he actually re-delivers the certificate.

As discussed herein, the disclosed embodiments may use the settlementprices, along with other market data for a target futures contract, todetermine a tracking value. The value of a tracking financial instrumentmay be based on the tracking value, whereby trading the trackingfinancial instrument enables a trader to avoid many of the complications(e.g., computational, logistical, etc.) associated with trading atraditional futures contract.

Spread Instruments

Traders trading on an exchange including, for example, exchange computersystem 100, often desire to trade multiple financial instruments incombination. Each component of the combination may be called a leg.Traders can submit orders for individual legs or in some cases cansubmit a single order for multiple financial instruments in anexchange-defined combination. Such orders may be called a strategyorder, a spread order, or a variety of other names.

A spread instrument may involve the simultaneous purchase of onesecurity and sale of a related security, called legs, as a unit. Thelegs of a spread instrument may be options or futures contracts, orcombinations of the two. Trades in spread instruments are executed toyield an overall net position whose value, called the spread, depends onthe difference between the prices of the legs. Spread instruments may betraded in an attempt to profit from the widening or narrowing of thespread, rather than from movement in the prices of the legs directly.Spread instruments are either “bought” or “sold” depending on whetherthe trade will profit from the widening or narrowing of the spread,respectively. An exchange often supports trading of common spreads as aunit rather than as individual legs, thus ensuring simultaneousexecution of the two legs, eliminating the execution risk of one legexecuting but the other failing.

One example of a spread instrument is a calendar spread instrument. Thelegs of a calendar spread instrument differ in delivery date of theunderlier. The leg with the earlier occurring delivery date is oftenreferred to as the lead month contract. A leg with a later occurringdelivery date is often referred to as a deferred month contract. Anotherexample of a spread instrument is a butterfly spread instrument, whichincludes three legs having different delivery dates. The delivery datesof the legs may be equidistant to each other. The counterparty ordersthat are matched against such a combination order may be individual,“outright” orders or may be part of other combination orders.

In other words, an exchange may receive, and hold or let rest on thebooks, outright orders for individual contracts as well as outrightorders for spreads associated with the individual contracts. An outrightorder (for either a contract or for a spread) may include an outrightbid or an outright offer, although some outright orders may bundle manybids or offers into one message (often called a mass quote).

A spread is an order for the price difference between two contracts.This results in the trader holding a long and a short position in two ormore related futures or options on futures contracts, with the objectiveof profiting from a change in the price relationship. A typical spreadproduct includes multiple legs, each of which may include one or moreunderlying financial instruments. A butterfly spread product, forexample, may include three legs. The first leg may consist of buying afirst contract. The second leg may consist of selling two of a secondcontract. The third leg may consist of buying a third contract. Theprice of a butterfly spread product may be calculated as:

Butterfly=Leg1−2*Leg2+Leg3

In the above equation, Leg1 equals the price of the first contract, Leg2equals the price of the second contract and Leg3 equals the price of thethird contract. Thus, a butterfly spread could be assembled from twointer-delivery spreads in opposite directions with the center deliverymonth common to both spreads.

A calendar spread, also called an intra-commodity spread, for futures isan order for the simultaneous purchase and sale of the same futurescontract in different contract months (i.e., buying a September CME S&P500® futures contract and selling a December CME S&P 500 futurescontract).

A crush spread is an order, usually in the soybean futures market, forthe simultaneous purchase of soybean futures and the sale of soybeanmeal and soybean oil futures to establish a processing margin. A crackspread is an order for a specific spread trade involving simultaneouslybuying and selling contracts in crude oil and one or more derivativeproducts, typically gasoline and heating oil. Oil refineries may trade acrack spread to hedge the price risk of their operations, whilespeculators attempt to profit from a change in the oil/gasoline pricedifferential.

A straddle is an order for the purchase or sale of an equal number ofputs and calls, with the same strike price and expiration dates. A longstraddle is a straddle in which a long position is taken in both a putand a call option. A short straddle is a straddle in which a shortposition is taken in both a put and a call option. A strangle is anorder for the purchase of a put and a call, in which the options havethe same expiration and the put strike is lower than the call strike,called a long strangle. A strangle may also be the sale of a put and acall, in which the options have the same expiration and the put strikeis lower than the call strike, called a short strangle. A pack is anorder for the simultaneous purchase or sale of an equally weighted,consecutive series of four futures contracts, quoted on an average netchange basis from the previous day's settlement price. Packs provide areadily available, widely accepted method for executing multiple futurescontracts with a single transaction. A bundle is an order for thesimultaneous sale or purchase of one each of a series of consecutivefutures contracts. Bundles provide a readily available, widely acceptedmethod for executing multiple futures contracts with a singletransaction.

Implication

An exchange may match outright orders, such as individual contracts orspread orders (which as discussed herein could include multipleindividual contracts). The exchange may also imply orders from outrightorders. For example, exchange computer system 100 may derive, identifyand/or advertise, publish, display or otherwise make available fortrading orders based on outright orders.

As was described above, the financial instruments which are the subjectof the orders to trade, may include one or more component financialinstruments. While each financial instrument may have its own orderbook, i.e., market, in which it may be traded, in the case of afinancial instrument having more than one component financialinstrument, those component financial instruments may further have theirown order books in which they may be traded. Accordingly, when an orderfor a financial instrument is received, it may be matched against asuitable counter order in its own order book or, possibly, against acombination of suitable counter orders in the order books the componentfinancial instruments thereof, or which share a common componentfinancial instrument. For example, an order for a spread contractcomprising component financial instruments A and B may be matchedagainst another suitable order for that spread contract. However, it mayalso be matched against suitable separate counter orders for the A andfor the B component financial instruments found in the order bookstherefore. Similarly, if an order for the A contract is received andsuitable match cannot be found in the A order book, it may be possibleto match order for A against a combination of a suitable counter orderfor a spread contract comprising the A and B component financialinstruments and a suitable counter order for the B component financialinstrument. This is referred to as “implication” where a given order fora financial instrument may be matched via a combination of suitablecounter orders for financial instruments which share common, orotherwise interdependent, component financial instruments. Implicationincreases the liquidity of the market by providing additionalopportunities for orders to be traded. Increasing the number oftransactions may further increase the number of transaction feescollected by the electronic trading system.

The order for a particular financial instrument actually received from amarket participant, whether it comprises one or more component financialinstruments, is referred to as a “real” or “outright” order, or simplyas an outright. The one or more orders which must be synthesized andsubmitted into order books other than the order book for the outrightorder to create matches therein, are referred to as “implied” orders.

Upon receipt of an incoming order, the identification or derivation ofsuitable implied orders which would allow at least a partial trade ofthe incoming outright order to be executed is referred to as“implication” or “implied matching”, the identified orders beingreferred to as an “implied match.” Depending on the number of componentfinancial instruments involved, and whether those component financialinstruments further comprise component financial instruments of theirown, there may be numerous different implied matches identified whichwould allow the incoming order to be at least partially matched andmechanisms may be provided to arbitrate, e.g., automatically, amongthem, such as by picking the implied match comprising the least numberof component financial instruments or the least number of synthesizedorders.

Upon receipt of an incoming order, or thereafter, a combination of oneor more suitable/hypothetical counter orders which have not actuallybeen received but if they were received, would allow at least a partialtrade of the incoming order to be executed, may be, e.g., automatically,identified or derived and referred to as an “implied opportunity.” Aswith implied matches, there may be numerous implied opportunitiesidentified for a given incoming order. Implied opportunities areadvertised to the market participants, such as via suitable syntheticorders, e.g. counter to the desired order, being placed on therespective order books to rest (or give the appearance that there is anorder resting) and presented via the market data feed, electronicallycommunicated to the market participants, to appear available to trade inorder to solicit the desired orders from the market participants.Depending on the number of component financial instruments involved, andwhether those component financial instruments further comprise componentfinancial instruments of their own, there may be numerous impliedopportunities, the submission of a counter order in response thereto,that would allow the incoming order to be at least partially matched.

Implied opportunities, e.g., the advertised synthetic orders, mayfrequently have better prices than the corresponding real orders in thesame contract. This can occur when two or more traders incrementallyimprove their order prices in the hope of attracting a trade, sincecombining the small improvements from two or more real orders can resultin a big improvement in their combination. In general, advertisingimplied opportunities at better prices will encourage traders to enterthe opposing orders to trade with them. The more implied opportunitiesthat the match engine of an electronic trading system cancalculate/derive, the greater this encouragement will be and the morethe exchange will benefit from increased transaction volume. However,identifying implied opportunities may be computationally intensive. Oneresponse message may trigger the calculations of hundreds or thousandsof calculations to determine implied opportunities, which are thenpublished, e.g., as implied messages, via market data feeds. In a highperformance trading system where low transaction latency is important,it may be important to identify and advertise implied opportunitiesquickly so as to improve or maintain market participant interest and/ormarket liquidity.

For example, two different outright orders may be resting on the books,or be available to trade or match. The orders may be resting becausethere are no outright orders that match the resting orders. Thus, eachof the orders may wait or rest on the books until an appropriateoutright counteroffer comes into the exchange, or is placed by a user ofthe exchange. The orders may be for two different contracts that onlydiffer in delivery dates. It should be appreciated that such orderscould be represented as a calendar spread order. Instead of waiting fortwo appropriate outright orders to be received that would match the twoexisting or resting orders, the exchange computer system may identify ahypothetical spread order that, if entered into the system as a tradablespread order, would allow the exchange computer system to match the twooutright orders. The exchange may thus advertise or make available aspread order to users of the exchange system that, if matched with atradable spread order, would allow the exchange to also match the tworesting orders. Thus, the exchange computing system may be configured todetect that the two resting orders may be combined into an order in thespread instrument and accordingly creates an implied order.

In other words, the exchange may imply the counteroffer order by usingmultiple orders to create the counteroffer order. Examples of spreadsinclude implied IN, implied OUT, 2nd- or multiple-generation, crackspreads, straddle, strangle, butterfly, and pack spreads. Implied INspread orders are derived from existing outright orders in individuallegs. Implied OUT outright orders are derived from a combination of anexisting spread order and an existing outright order in one of theindividual underlying legs. Implied orders can fill in gaps in themarket and allow spreads and outright futures traders to trade in aproduct where there would otherwise have been little or no availablebids and asks.

For example, implied IN spreads may be created from existing outrightorders in individual contracts where an outright order in a spread canbe matched with other outright orders in the spread or with acombination of orders in the legs of the spread. An implied OUT spreadmay be created from the combination of an existing outright order in aspread and an existing outright order in one of the individualunderlying leg. An implied IN or implied OUT spread may be created whenan electronic matching system simultaneously works synthetic spreadorders in spread markets and synthetic orders in the individual legmarkets without the risk to the trader/broker of being double filled orfilled on one leg and not on the other leg.

By linking the spread and outright markets, implied spread tradingincreases market liquidity. For example, a buy in one contract month andan offer in another contract month in the same futures contract cancreate an implied market in the corresponding calendar spread. Anexchange may match an order for a spread product with another order forthe spread product. Some exchanges attempt to match orders for spreadproducts with multiple orders for legs of the spread products. With suchsystems, every spread product contract is broken down into a collectionof legs and an attempt is made to match orders for the legs.

Implied orders, unlike real orders, are generated by electronic tradingsystems. In other words, implied orders are computer generated ordersderived from real orders. The system creates the “derived” or “implied”order and provides the implied order as a market that may be tradedagainst. If a trader trades against this implied order, then the realorders that combined to create the implied order and the resultingmarket are executed as matched trades. Implied orders generally increaseoverall market liquidity. The creation of implied orders increases thenumber of tradable items, which has the potential of attractingadditional traders. Exchanges benefit from increased transaction volume.Transaction volume may also increase as the number of matched tradeitems increases.

Examples of implied spread trading include those disclosed in U.S.Patent Publication No. 2005/0203826, entitled “Implied Spread TradingSystem,” the entire disclosure of which is incorporated by referenceherein and relied upon. Examples of implied markets include thosedisclosed in U.S. Pat. No. 7,039,610, entitled “Implied Market TradingSystem,” the entire disclosure of which is incorporated by referenceherein and relied upon.

In some cases, the outright market for the deferred month or otherconstituent contract may not be sufficiently active to provide marketdata (e.g., bid-offer data) and/or trade data. Spread instrumentsinvolving such contracts may nonetheless be made available by theexchange. The market data from the spread instruments may then be usedto determine a settlement price for the constituent contract. Thesettlement price may be determined, for example, through a boundaryconstraint-based technique based on the market data (e.g., bid-offerdata) for the spread instrument, as described in U.S. Patent PublicationNo. 2015/0073962 entitled “Boundary Constraint-Based Settlement inSpread Markets”, the entire disclosure of which is incorporated byreference herein and relied upon. Settlement price determinationtechniques may be implemented to cover calendar month spread instrumentshaving different deferred month contracts.

Referring again to data transaction processing systems, a system maydepend on certain rules, logic, and inter-related objects and data. Intechnical and computing environments, a system may calculate values formultiple objects subject to rules, e.g., business or environment logic,associated with the objects. Certain object types may also depend onother object types. For example, a computing environment may includemultiple objects of different types, e.g., base objects and compositeobjects. A composite object as used herein is an object whose valuedepends on, is related to, or is influenced by, the values of otherobjects, such as base objects or other composite objects. For example, acomposite object may involve transactions between multiple, e.g., two,base objects. Or, a composite object may define a relationship betweenother objects. Thus, composite objects depend on the values of othersystem objects. In one embodiment, a composite object involves ordefines a transaction or relationship between at least two otherobjects. For example, a composite object involves or defines atransaction or relationship between two base objects. A base object mayrepresent an outright order associated with a financial instrument, anda composite object may represent a spread order associated with afinancial instrument.

2. Computing Environment

The embodiments may be described in terms of a distributed computingsystem. The particular examples identify a specific set of componentsuseful in a futures and options exchange. However, many of thecomponents and inventive features are readily adapted to otherelectronic trading environments. The specific examples described hereinmay teach specific protocols and/or interfaces, although it should beunderstood that the principles involved may be extended to, or appliedin, other protocols and interfaces.

It should be appreciated that the plurality of entities utilizing orinvolved with the disclosed embodiments, e.g., the market participants,may be referred to by other nomenclature reflecting the role that theparticular entity is performing with respect to the disclosedembodiments and that a given entity may perform more than one roledepending upon the implementation and the nature of the particulartransaction being undertaken, as well as the entity's contractual and/orlegal relationship with another market participant and/or the exchange.

An exemplary trading network environment for implementing tradingsystems and methods is shown in FIG. 1 . An exchange computer system 100receives messages that include orders and transmits market data relatedto orders and trades to users, such as via wide area network 162 and/orlocal area network 160 and computer devices 120, 152, 154, 156 and 158,as described herein, coupled with the exchange computer system 100.

Herein, the phrase “coupled with” is defined to mean directly connectedto or indirectly connected through one or more intermediate components.Such intermediate components may include both hardware and softwarebased components. Further, to clarify the use in the pending claims andto hereby provide notice to the public, the phrases “at least one of<A>, <B>, . . . and <N>” or “at least one of <A>, <B>, . . . <N>, orcombinations thereof” are defined by the Applicant in the broadestsense, superseding any other implied definitions herebefore orhereinafter unless expressly asserted by the Applicant to the contrary,to mean one or more elements selected from the group comprising A, B, .. . and N, that is to say, any combination of one or more of theelements A, B, . . . or N including any one element alone or incombination with one or more of the other elements which may alsoinclude, in combination, additional elements not listed.

The exchange computer system 100 may be implemented with one or moremainframe, desktop or other computers, such as the example computer 200described herein with respect to FIG. 2 . A user database 102 may beprovided which includes information identifying traders and other usersof exchange computer system 100, such as account numbers or identifiers,user names and passwords. An account data module 104 may be providedwhich may process account information that may be used during trades.

A match engine module 106 may be included to match bid and offer pricesand may be implemented with software that executes one or morealgorithms for matching bids and offers. A trade database 108 may beincluded to store information identifying trades and descriptions oftrades. In particular, trade database 108 may store informationidentifying the time that a trade took place and the contract price.

An order book module 110 may be included to compute or otherwisedetermine current bid and offer prices, e.g., in a continuous auctionmarket, or also operate as an order accumulation buffer for a batchauction market.

A market data module 112 may be included to collect market data andprepare the data for transmission to users. For example, the market datamodule 112 may prepare the market data feeds described herein.

A risk management module 134 may be included to compute and determine auser's risk utilization in relation to the user's defined riskthresholds. The risk management module 134 may also be configured todetermine risk assessments or exposure levels in connection withpositions held by a market participant. The risk management module 134may be configured to administer, manage or maintain one or moremargining mechanisms implemented by the exchange computer system 100.Such administration, management or maintenance may include managing anumber of database records reflective of margin accounts of the marketparticipants. In some embodiments, the risk management module 134implements one or more aspects of the disclosed embodiments, including,for instance, principal component analysis (PCA) based margining, inconnection with interest rate swap (IRS) portfolios, as describedherein.

A message management module 116 may be included to, among other things,receive, and extract orders from, electronic data transaction requestmessages. The message management module 116 may define a point ofingress into the exchange computer system 100 where messages are orderedand considered to be received by the system. This may be considered apoint of determinism in the exchange computer system 100 that definesthe earliest point where the system can ascribe an order of receipt toarriving messages. The point of determinism may or may not be at or nearthe demarcation point between the exchange computer system 100 and apublic/internet network infrastructure. The message management module116 processes messages by interpreting the contents of a message basedon the message transmit protocol, such as the transmission controlprotocol (“TCP”), to provide the content of the message for furtherprocessing by the exchange computer system.

The message management module 116 may also be configured to detectcharacteristics of an order for a transaction to be undertaken in anelectronic marketplace. For example, the message management module 116may identify and extract order content such as a price, product, volume,and associated market participant for an order. The message managementmodule 116 may also identify and extract data indicating an action to beexecuted by the exchange computer system 100 with respect to theextracted order. For example, the message management module 116 maydetermine the transaction type of the transaction requested in a givenmessage. A message may include an instruction to perform a type oftransaction. The transaction type may be, in one embodiment, arequest/offer/order to either buy or sell a specified quantity or unitsof a financial instrument at a specified price or value. The messagemanagement module 116 may also identify and extract other orderinformation and other actions associated with the extracted order. Allextracted order characteristics, other information, and associatedactions extracted from a message for an order may be collectivelyconsidered an order as described and referenced herein.

Order or message characteristics may include, for example, the state ofthe system after a message is received, arrival time (e.g., the time amessage arrives at the Market Segment Gateway (“MSG”) that is the pointof ingress/entry and/or egress/departure for all transactions, i.e., thenetwork traffic/packets containing the data therefore), message type(e.g., new, modify, cancel), and the number of matches generated by amessage. Order or message characteristics may also include marketparticipant side (e.g., buyer or seller) or time in force (e.g., a gooduntil end of day order that is good for the full trading day, a gooduntil canceled ordered that rests on the order book until matched, or afill or kill order that is canceled if not filled immediately, or a filland kill order (FOK) that is filled to the maximum amount possible basedon the state of the order book at the time the FOK order is processed,and any remaining or unfilled/unsatisfied quantity is not stored on thebooks or allowed to rest).

An order processing module 136 may be included to decompose delta-based,spread instrument, bulk and other types of composite orders forprocessing by the order book module 110 and/or the match engine module106. The order processing module 136 may also be used to implement oneor more procedures related to clearing an order. The order may becommunicated from the message management module 116 to the orderprocessing module 136. The order processing module 136 may be configuredto interpret the communicated order, and manage the ordercharacteristics, other information, and associated actions as they areprocessed through an order book module 110 and eventually transacted onan electronic market. For example, the order processing module 136 maystore the order characteristics and other content and execute theassociated actions. In an embodiment, the order processing module 136may execute an associated action of placing the order into an order bookfor an electronic trading system managed by the order book module 110.In an embodiment, placing an order into an order book and/or into anelectronic trading system may be considered a primary action for anorder. The order processing module 136 may be configured in variousarrangements, and may be configured as part of the order book module110, part of the message management module 116, or as an independentfunctioning module.

As an intermediary to electronic trading transactions, the exchangebears a certain amount of risk in each transaction that takes place. Tothat end, the clearing house implements risk management mechanisms toprotect the exchange. One or more of the modules of the exchangecomputer system 100 may be configured to determine settlement prices forconstituent contracts, such as deferred month contracts, of spreadinstruments, such as for example, settlement module 140. A settlementmodule 140 (or settlement processor or other payment processor) may beincluded to provide one or more functions related to settling orotherwise administering transactions cleared by the exchange. Settlementmodule 140 of the exchange computer system 100 may implement one or moresettlement price determination techniques. Settlement-related functionsneed not be limited to actions or events occurring at the end of acontract term. For instance, in some embodiments, settlement-relatedfunctions may include or involve daily or other mark to marketsettlements for margining purposes. In some cases, the settlement module140 may be configured to communicate with the trade database 108 (or thememory(ies) on which the trade database 108 is stored) and/or todetermine a payment amount based on a spot price, the price of thefutures contract or other financial instrument, or other price data, atvarious times. The determination may be made at one or more points intime during the term of the financial instrument in connection with amargining mechanism. For example, the settlement module 140 may be usedto determine a mark to market amount on a daily basis during the term ofthe financial instrument. Such determinations may also be made on asettlement date for the financial instrument for the purposes of finalsettlement.

In some embodiments, the settlement module 140 may be integrated to anydesired extent with one or more of the other modules or processors ofthe exchange computer system 100. For example, the settlement module 140and the risk management module 134 may be integrated to any desiredextent. In some cases, one or more margining procedures or other aspectsof the margining mechanism(s) may be implemented by the settlementmodule 140.

One or more of the above-described modules of the exchange computersystem 100 may be used to gather or obtain data to support thesettlement price determination, as well as a subsequent marginrequirement determination. For example, the order book module 110 and/orthe market data module 112 may be used to receive, access, or otherwiseobtain market data, such as bid-offer values of orders currently on theorder books. The trade database 108 may be used to receive, access, orotherwise obtain trade data indicative of the prices and volumes oftrades that were recently executed in a number of markets. In somecases, transaction data (and/or bid/ask data) may be gathered orobtained from open outcry pits and/or other sources and incorporatedinto the trade and market data from the electronic trading system(s). Itshould be appreciated that concurrent processing limits may be definedby or imposed separately or in combination on one or more of the tradingsystem components.

The disclosed mechanisms may be implemented at any logical and/orphysical point(s), or combinations thereof, at which the relevantinformation/data (e.g., message traffic and responses thereto) may bemonitored or flows or is otherwise accessible or measurable, includingone or more gateway devices, modems, the computers or terminals of oneor more market participants, e.g., client computers, etc.

One skilled in the art will appreciate that one or more modulesdescribed herein may be implemented using, among other things, atangible computer-readable medium comprising computer-executableinstructions (e.g., executable software code). Alternatively, modulesmay be implemented as software code, firmware code, specificallyconfigured hardware or processors, and/or a combination of theaforementioned. For example, the modules may be embodied as part of anexchange 100 for financial instruments. It should be appreciated thedisclosed embodiments may be implemented as a different or separatemodule of the exchange computer system 100, or a separate computersystem coupled with the exchange computer system 100 so as to haveaccess to margin account record, pricing, and/or other data. Asdescribed herein, the disclosed embodiments may be implemented as acentrally accessible system or as a distributed system, e.g., where someof the disclosed functions are performed by the computer systems of themarket participants.

The trading network environment shown in FIG. 1 includes exemplarycomputer devices 150, 152, 154, 156 and 158 which depict differentexemplary methods or media by which a computer device may be coupledwith the exchange computer system 100 or by which a user maycommunicate, e.g., send and receive, trade or other informationtherewith. It should be appreciated that the types of computer devicesdeployed by traders and the methods and media by which they communicatewith the exchange computer system 100 is implementation dependent andmay vary and that not all of the depicted computer devices and/ormeans/media of communication may be used and that other computer devicesand/or means/media of communications, now available or later developedmay be used. Each computer device, which may comprise a computer 200described in more detail with respect to FIG. 2 , may include a centralprocessor, specifically configured or otherwise, that controls theoverall operation of the computer and a system bus that connects thecentral processor to one or more conventional components, such as anetwork card or modem. Each computer device may also include a varietyof interface units and drives for reading and writing data or files andcommunicating with other computer devices and with the exchange computersystem 100. Depending on the type of computer device, a user caninteract with the computer with a keyboard, pointing device, microphone,pen device or other input device now available or later developed.

An exemplary computer device 150 is shown directly connected to exchangecomputer system 100, such as via a T1 line, a common local area network(LAN) or other wired and/or wireless medium for connecting computerdevices, such as the network 220 shown in FIG. 2 and described withrespect thereto. The exemplary computer device 150 is further shownconnected to a radio 168. The user of radio 168, which may include acellular telephone, smart phone, or other wireless proprietary and/ornon-proprietary device, may be a trader or exchange employee. The radiouser may transmit orders or other information to the exemplary computerdevice 150 or a user thereof. The user of the exemplary computer device150, or the exemplary computer device 150 alone and/or autonomously, maythen transmit the trade or other information to the exchange computersystem 100.

Exemplary computer devices 152 and 154 are coupled with a local areanetwork (“LAN”) 160 which may be configured in one or more of thewell-known LAN topologies, e.g., star, daisy chain, etc., and may use avariety of different protocols, such as Ethernet, TCP/IP, etc. Theexemplary computer devices 152 and 154 may communicate with each otherand with other computer and other devices which are coupled with the LAN160. Computer and other devices may be coupled with the LAN 160 viatwisted pair wires, coaxial cable, fiber optics or other wired orwireless media. As shown in FIG. 1 , an exemplary wireless personaldigital assistant device (“PDA”) 158, such as a mobile telephone, tabletbased compute device, or other wireless device, may communicate with theLAN 160 and/or the Internet 162 via radio waves, such as via WiFi,Bluetooth and/or a cellular telephone based data communicationsprotocol. PDA 158 may also communicate with exchange computer system 100via a conventional wireless hub 164.

FIG. 1 also shows the LAN 160 coupled with a wide area network (“WAN”)162 which may be comprised of one or more public or private wired orwireless networks. In one embodiment, the WAN 162 includes the Internet162. The LAN 160 may include a router to connect LAN 160 to the Internet162. Exemplary computer device 156 is shown coupled directly to theInternet 162, such as via a modem, DSL line, satellite dish or any otherdevice for connecting a computer device to the Internet 162 via aservice provider therefore as is known. LAN 160 and/or WAN 162 may bethe same as the network 220 shown in FIG. 2 and described with respectthereto.

Users of the exchange computer system 100 may include one or more marketmakers 130 which may maintain a market by providing constant bid andoffer prices for a derivative or security to the exchange computersystem 100, such as via one of the exemplary computer devices depicted.The exchange computer system 100 may also exchange information withother match or trade engines, such as trade engine 138. One skilled inthe art will appreciate that numerous additional computers and systemsmay be coupled to exchange computer system 100. Such computers andsystems may include clearing, regulatory and fee systems.

The operations of computer devices and systems shown in FIG. 1 may becontrolled by computer-executable instructions stored on anon-transitory computer-readable medium. For example, the exemplarycomputer device 152 may store computer-executable instructions forreceiving order information from a user, transmitting that orderinformation to exchange computer system 100 in electronic messages,extracting the order information from the electronic messages, executingactions relating to the messages, and/or calculating values fromcharacteristics of the extracted order to facilitate matching orders andexecuting trades. In another example, the exemplary computer device 150may include computer-executable instructions for receiving market datafrom exchange computer system 100 and displaying that information to auser.

Numerous additional servers, computers, handheld devices, personaldigital assistants, telephones and other devices may also be connectedto exchange computer system 100. Moreover, one skilled in the art willappreciate that the topology shown in FIG. 1 is merely an example andthat the components shown in FIG. 1 may include other components notshown and be connected by numerous alternative topologies.

Referring now to FIG. 2 , an illustrative embodiment of a generalcomputer system 200 is shown. The computer system 200 can include a setof instructions that can be executed to cause the computer system 200 toperform any one or more of the methods or computer-based functionsdisclosed herein. The computer system 200 may operate as a standalonedevice or may be connected, e.g., using a network, to other computersystems or peripheral devices. Any of the components discussed herein,such as processor 202, may be a computer system 200 or a component inthe computer system 200. The computer system 200 may be specificallyconfigured to implement a match engine, margin processing, payment orclearing function on behalf of an exchange, such as the ChicagoMercantile Exchange, of which the disclosed embodiments are a componentthereof.

In a networked deployment, the computer system 200 may operate in thecapacity of a server or as a client user computer in a client-serveruser network environment, or as a peer computer system in a peer-to-peer(or distributed) network environment. The computer system 200 can alsobe implemented as or incorporated into various devices, such as apersonal computer (PC), a tablet PC, a set-top box (STB), a personaldigital assistant (PDA), a mobile device, a palmtop computer, a laptopcomputer, a desktop computer, a communications device, a wirelesstelephone, a land-line telephone, a control system, a camera, a scanner,a facsimile machine, a printer, a pager, a personal trusted device, aweb appliance, a network router, switch or bridge, or any other machinecapable of executing a set of instructions (sequential or otherwise)that specify actions to be taken by that machine. In a particularembodiment, the computer system 200 can be implemented using electronicdevices that provide voice, video or data communication. Further, whilea single computer system 200 is illustrated, the term “system” shallalso be taken to include any collection of systems or sub-systems thatindividually or jointly execute a set, or multiple sets, of instructionsto perform one or more computer functions.

As illustrated in FIG. 2 , the computer system 200 may include aprocessor 202, e.g., a central processing unit (CPU), a graphicsprocessing unit (GPU), or both. The processor 202 may be a component ina variety of systems. For example, the processor 202 may be part of astandard personal computer or a workstation. The processor 202 may beone or more general processors, digital signal processors, specificallyconfigured processors, application specific integrated circuits, fieldprogrammable gate arrays, servers, networks, digital circuits, analogcircuits, combinations thereof, or other now known or later developeddevices for analyzing and processing data. The processor 202 mayimplement a software program, such as code generated manually (i.e.,programmed).

The computer system 200 may include a memory 204 that can communicatevia a bus 208. The memory 204 may be a main memory, a static memory, ora dynamic memory. The memory 204 may include, but is not limited to,computer readable storage media such as various types of volatile andnon-volatile storage media, including but not limited to random accessmemory, read-only memory, programmable read-only memory, electricallyprogrammable read-only memory, electrically erasable read-only memory,flash memory, magnetic tape or disk, optical media and the like. In oneembodiment, the memory 204 includes a cache or random access memory forthe processor 202. In alternative embodiments, the memory 204 isseparate from the processor 202, such as a cache memory of a processor,the system memory, or other memory. The memory 204 may be an externalstorage device or database for storing data. Examples include a harddrive, compact disc (“CD”), digital video disc (“DVD”), memory card,memory stick, floppy disc, universal serial bus (“USB”) memory device,or any other device operative to store data. The memory 204 is operableto store instructions executable by the processor 202. The functions,acts or tasks illustrated in the figures or described herein may beperformed by the programmed processor 202 executing the instructions 212stored in the memory 204. The functions, acts or tasks are independentof the particular type of instructions set, storage media, processor orprocessing strategy and may be performed by software, hardware,integrated circuits, firmware, micro-code and the like, operating aloneor in combination. Likewise, processing strategies may includemultiprocessing, multitasking, parallel processing and the like.

As shown, the computer system 200 may further include a display unit214, such as a liquid crystal display (LCD), an organic light emittingdiode (OLED), a flat panel display, a solid state display, a cathode raytube (CRT), a projector, a printer or other now known or later developeddisplay device for outputting determined information. The display 214may act as an interface for the user to see the functioning of theprocessor 202, or specifically as an interface with the software storedin the memory 204 or in the drive unit 206.

Additionally, the computer system 200 may include an input device 216configured to allow a user to interact with any of the components ofsystem 200. The input device 216 may be a number pad, a keyboard, or acursor control device, such as a mouse, or a joystick, touch screendisplay, remote control or any other device operative to interact withthe system 200.

In a particular embodiment, as depicted in FIG. 2 , the computer system200 may also include a disk or optical drive unit 206. The disk driveunit 206 may include a computer-readable medium 210 in which one or moresets of instructions 212, e.g., software, can be embedded. Further, theinstructions 212 may embody one or more of the methods or logic asdescribed herein. In a particular embodiment, the instructions 212 mayreside completely, or at least partially, within the memory 204 and/orwithin the processor 202 during execution by the computer system 200.The memory 204 and the processor 202 also may include computer-readablemedia as discussed herein.

The present disclosure contemplates a computer-readable medium thatincludes instructions 212 or receives and executes instructions 212responsive to a propagated signal, so that a device connected to anetwork 220 can communicate voice, video, audio, images or any otherdata over the network 220. Further, the instructions 212 may betransmitted or received over the network 220 via a communicationinterface 218. The communication interface 218 may be a part of theprocessor 202 or may be a separate component. The communicationinterface 218 may be created in software or may be a physical connectionin hardware. The communication interface 218 is configured to connectwith a network 220, external media, the display 214, or any othercomponents in system 200, or combinations thereof. The connection withthe network 220 may be a physical connection, such as a wired Ethernetconnection or may be established wirelessly. Likewise, the additionalconnections with other components of the system 200 may be physicalconnections or may be established wirelessly.

The network 220 may include wired networks, wireless networks, orcombinations thereof. The wireless network may be a cellular telephonenetwork, an 802.11, 802.16, 802.20, or WiMax network. Further, thenetwork 220 may be a public network, such as the Internet, a privatenetwork, such as an intranet, or combinations thereof, and may utilize avariety of networking protocols now available or later developedincluding, but not limited to, TCP/IP based networking protocols.

Embodiments of the subject matter and the functional operationsdescribed in this specification can be implemented in digital electroniccircuitry, or in computer software, firmware, or hardware, including thestructures disclosed in this specification and their structuralequivalents, or in combinations of one or more of them. Embodiments ofthe subject matter described in this specification can be implemented asone or more computer program products, i.e., one or more modules ofcomputer program instructions encoded on a computer readable medium forexecution by, or to control the operation of, data processing apparatus.While the computer-readable medium is shown to be a single medium, theterm “computer-readable medium” includes a single medium or multiplemedia, such as a centralized or distributed database, and/or associatedcaches and servers that store one or more sets of instructions. The term“computer-readable medium” shall also include any medium that is capableof storing, encoding or carrying a set of instructions for execution bya processor or that cause a computer system to perform any one or moreof the methods or operations disclosed herein. The computer readablemedium can be a machine-readable storage device, a machine-readablestorage substrate, a memory device, or a combination of one or more ofthem. The term “data processing apparatus” encompasses all apparatus,devices, and machines for processing data, including by way of example aprogrammable processor, a computer, or multiple processors or computers.The apparatus can include, in addition to hardware, code that creates anexecution environment for the computer program in question, e.g., codethat constitutes processor firmware, a protocol stack, a databasemanagement system, an operating system, or a combination of one or moreof them.

In a particular non-limiting, exemplary embodiment, thecomputer-readable medium can include a solid-state memory such as amemory card or other package that houses one or more non-volatileread-only memories. Further, the computer-readable medium can be arandom access memory or other volatile re-writable memory. Additionally,the computer-readable medium can include a magneto-optical or opticalmedium, such as a disk or tapes or other storage device to capturecarrier wave signals such as a signal communicated over a transmissionmedium. A digital file attachment to an e-mail or other self-containedinformation archive or set of archives may be considered a distributionmedium that is a tangible storage medium. Accordingly, the disclosure isconsidered to include any one or more of a computer-readable medium or adistribution medium and other equivalents and successor media, in whichdata or instructions may be stored.

In an alternative embodiment, dedicated or otherwise specificallyconfigured hardware implementations, such as application specificintegrated circuits, programmable logic arrays and other hardwaredevices, can be constructed to implement one or more of the methodsdescribed herein. Applications that may include the apparatus andsystems of various embodiments can broadly include a variety ofelectronic and computer systems. One or more embodiments describedherein may implement functions using two or more specific interconnectedhardware modules or devices with related control and data signals thatcan be communicated between and through the modules, or as portions ofan application-specific integrated circuit. Accordingly, the presentsystem encompasses software, firmware, and hardware implementations.

In accordance with various embodiments of the present disclosure, themethods described herein may be implemented by software programsexecutable by a computer system. Further, in an exemplary, non-limitedembodiment, implementations can include distributed processing,component/object distributed processing, and parallel processing.Alternatively, virtual computer system processing can be constructed toimplement one or more of the methods or functionality as describedherein.

Although the present specification describes components and functionsthat may be implemented in particular embodiments with reference toparticular standards and protocols, the invention is not limited to suchstandards and protocols. For example, standards for Internet and otherpacket switched network transmission (e.g., TCP/IP, UDP/IP, HTML, HTTP,HTTPS) represent examples of the state of the art. Such standards areperiodically superseded by faster or more efficient equivalents havingessentially the same functions. Accordingly, replacement standards andprotocols having the same or similar functions as those disclosed hereinare considered equivalents thereof.

A computer program (also known as a program, software, softwareapplication, script, or code) can be written in any form of programminglanguage, including compiled or interpreted languages, and it can bedeployed in any form, including as a standalone program or as a module,component, subroutine, or other unit suitable for use in a computingenvironment. A computer program does not necessarily correspond to afile in a file system. A program can be stored in a portion of a filethat holds other programs or data (e.g., one or more scripts stored in amarkup language document), in a single file dedicated to the program inquestion, or in multiple coordinated files (e.g., files that store oneor more modules, sub programs, or portions of code). A computer programcan be deployed to be executed on one computer or on multiple computersthat are located at one site or distributed across multiple sites andinterconnected by a communication network.

The processes and logic flows described in this specification can beperformed by one or more programmable processors executing one or morecomputer programs to perform functions by operating on input data andgenerating output. The processes and logic flows can also be performedby, and apparatus can also be implemented as, special purpose logiccircuitry, e.g., an FPGA (field programmable gate array) or an ASIC(application specific integrated circuit).

Processors suitable for the execution of a computer program include, byway of example, both general and special purpose microprocessors, andanyone or more processors of any kind of digital computer. Generally, aprocessor will receive instructions and data from a read only memory ora random access memory or both. The essential elements of a computer area processor for performing instructions and one or more memory devicesfor storing instructions and data. Generally, a computer will alsoinclude, or be operatively coupled to receive data from or transfer datato, or both, one or more mass storage devices for storing data, e.g.,magnetic, magneto optical disks, or optical disks. However, a computerneed not have such devices. Moreover, a computer can be embedded inanother device, e.g., a mobile telephone, a personal digital assistant(PDA), a mobile audio player, a Global Positioning System (GPS)receiver, to name just a few. Computer readable media suitable forstoring computer program instructions and data include all forms ofnon-volatile memory, media and memory devices, including by way ofexample semiconductor memory devices, e.g., EPROM, EEPROM, and flashmemory devices; magnetic disks, e.g., internal hard disks or removabledisks; magneto optical disks; and CD ROM and DVD-ROM disks. Theprocessor and the memory can be supplemented by, or incorporated in,special purpose logic circuitry.

As used herein, the terms “microprocessor” or “general-purposeprocessor” (“GPP”) may refer to a hardware device that fetchesinstructions and data from a memory or storage device and executes thoseinstructions (for example, an Intel Xeon processor or an AMD Opteronprocessor) to then, for example, process the data in accordancetherewith. The term “reconfigurable logic” may refer to any logictechnology whose form and function can be significantly altered (i.e.,reconfigured) in the field post-manufacture as opposed to amicroprocessor, whose function can change post-manufacture, e.g., viacomputer executable software code, but whose form, e.g. thearrangement/layout and interconnection of logical structures, is fixedat manufacture. The term “software” may refer to data processingfunctionality that is deployed on a GPP. The term “firmware” may referto data processing functionality that is deployed on reconfigurablelogic. One example of a reconfigurable logic is a field programmablegate array (“FPGA”) which is a reconfigurable integrated circuit. AnFPGA may contain programmable logic components called “logic blocks”,and a hierarchy of reconfigurable interconnects that allow the blocks tobe “wired together”, somewhat like many (changeable) logic gates thatcan be inter-wired in (many) different configurations. Logic blocks maybe configured to perform complex combinatorial functions, or merelysimple logic gates like AND, OR, NOT and XOR. An FPGA may furtherinclude memory elements, which may be simple flip-flops or more completeblocks of memory.

To provide for interaction with a user, embodiments of the subjectmatter described in this specification can be implemented on a devicehaving a display, e.g., a CRT (cathode ray tube) or LCD (liquid crystaldisplay) monitor, for displaying information to the user and a keyboardand a pointing device, e.g., a mouse or a trackball, by which the usercan provide input to the computer. Other kinds of devices can be used toprovide for interaction with a user as well. Feedback provided to theuser can be any form of sensory feedback, e.g., visual feedback,auditory feedback, or tactile feedback. Input from the user can bereceived in any form, including acoustic, speech, or tactile input.

Embodiments of the subject matter described in this specification can beimplemented in a computing system that includes a back end component,e.g., a data server, or that includes a middleware component, e.g., anapplication server, or that includes a front end component, e.g., aclient computer having a graphical user interface or a Web browserthrough which a user can interact with an implementation of the subjectmatter described in this specification, or any combination of one ormore such back end, middleware, or front end components. The componentsof the system can be interconnected by any form or medium of digitaldata communication, e.g., a communication network. Examples ofcommunication networks include a local area network (“LAN”) and a widearea network (“WAN”), e.g., the Internet.

The computing system can include clients and servers. A client andserver are generally remote from each other and typically interactthrough a communication network. The relationship of client and serverarises by virtue of computer programs running on the respectivecomputers and having a client-server relationship to each other.

It should be appreciated that the disclosed embodiments may beapplicable to other types of messages depending upon the implementation.Further, the messages may comprise one or more data packets, datagramsor other collection of data formatted, arranged configured and/orpackaged in a particular one or more protocols, e.g., the FIX protocol,TCP/IP, Ethernet, etc., suitable for transmission via a network 214 aswas described, such as the message format and/or protocols described inU.S. Pat. No. 7,831,491 and U.S. Patent Publication No. 2005/0096999 A1,both of which are incorporated by reference herein in their entiretiesand relied upon. Further, the disclosed message management system may beimplemented using an open message standard implementation, such as FIX,FIX Binary, FIX/FAST, or by an exchange-provided API.

Order Book Object Data Structures

In one embodiment, the messages and/or values received for each objectmay be stored in queues according to value and/or priority techniquesimplemented by an exchange computing system 100. FIG. 3A illustrates anexample data structure 300, which may be stored in a memory or otherstorage device, such as the memory 204 or storage device 206 describedwith respect to FIG. 2 , for storing and retrieving messages related todifferent values for the same action for an object. For example, datastructure 300 may be a set of queues or linked lists for multiple valuesfor an action, e.g., bid, on an object. Data structure 300 may beimplemented as a database. It should be appreciated that the system maystore multiple values for the same action for an object, for example,because multiple users submitted messages to buy specified quantities ofan object at different values. Thus, in one embodiment, the exchangecomputing system may keep track of different orders or messages forbuying or selling quantities of objects at specified values.

Although the present application contemplates using queue datastructures for storing messages in a memory, the implementation mayinvolve additional pointers, i.e., memory address pointers, or linkingto other data structures. Incoming messages may be stored at anidentifiable memory address. The data transaction processor can traversemessages in order by pointing to and retrieving different messages fromthe different memories. Thus, messages that may be depictedsequentially, e.g., in FIG. 3B below, may actually be stored in memoryin disparate locations. The software programs implementing thetransaction processing may retrieve and process messages in sequencefrom the various disparate (e.g., random) locations. Thus, in oneembodiment, each queue may store different values, which could representprices, where each value points to or is linked to the messages (whichmay themselves be stored in queues and sequenced according to prioritytechniques, such as prioritizing by value) that will match at thatvalue. For example, as shown in FIG. 3A, all of the values relevant toexecuting an action at different values for an object are stored in aqueue. Each value in turn points to, e.g., a linked list or queuelogically associated with the values. The linked list stores themessages that instruct the exchange computing system to buy specifiedquantities of the object at the corresponding value.

The sequence of the messages in the message queues connected to eachvalue may be determined by exchange implemented priority techniques. Forexample, in FIG. 3A, messages M1, M2, M3 and M4 are associated withperforming an action (e.g., buying or selling) a certain number of units(may be different for each message) at Value 1. M1 has priority over M2,which has priority over M3, which has priority over M4. Thus, if acounter order matches at Value 1, the system fills as much quantity aspossible associated with M1 first, then M2, then M3, and then M4.

In the illustrated examples, the values may be stored in sequentialorder, and the best or lead value for a given queue may be readilyretrievable by and/or accessible to the disclosed system. Thus, in oneembodiment, the value having the best priority may be illustrated asbeing in the topmost position in a queue, although the system may beconfigured to place the best priority message in some otherpredetermined position. In the example of FIG. 3A, Value 1 is shown asbeing the best value or lead value, or the top of the book value, for anexample Action.

A lead acquisition value may be the best or lead value in an acquisitionqueue of an order book object, and a lead relinquish value may be thebest or lead value in a relinquish queue of the order book object.

FIG. 3B illustrates an example alternative data structure 310 forstoring and retrieving messages and related values. It should beappreciated that matches occur based on values, and so all the messagesrelated to a given value may be prioritized over all other messagesrelated to a different value. As shown in FIG. 3B, the messages may bestored in one queue and grouped by values according to the hierarchy ofthe values. The hierarchy of the values may depend on the action to beperformed.

For example, if a queue is a sell queue (e.g., the Action is Sell), thelowest value may be given the best priority and the highest value may begiven the lowest priority. Thus, as shown in FIG. 3B, if Value 1 islower than Value 2 which is lower than Value 3, Value 1 messages may beprioritized over Value 2, which in turn may be prioritized over Value 3.

Within Value 1, M1 is prioritized over M2, which in turn is prioritizedover M3, which in turn is prioritized over M4. Within Value 2, M5 isprioritized over M6, which in turn is prioritized over M7, which in turnis prioritized over M8. Within Value 3, M9 is prioritized over M10,which in turn is prioritized over M11, which in turn is prioritized overM12.

Alternatively, the messages may be stored in a tree-node data structurethat defines the priorities of the messages. In one embodiment, themessages may make up the nodes.

In one embodiment, the system may traverse through a number of differentvalues and associated messages when processing an incoming message.Traversing values may involve the processor loading each value, checkingthat value and deciding whether to load another value, i.e., byaccessing the address pointed at by the address pointer value. Inparticular, referring to FIG. 3B, if the queue is for selling an objectfor the listed Values 1, 2 and 3 (where Value 1 is lower than Value 2which is lower than Value 3), and if the system receives an incomingaggressing order to buy quantity X at a Value 4 that is greater thanValues 1, 2, and 3, the system will fill as much of quantity X aspossible by first traversing through the messages under Value 1 (insequence M1, M2, M3, M4). If any of the quantity of X remains, thesystem traverses down the prioritized queue until all of the incomingorder is filled (e.g., all of X is matched) or until all of thequantities of M1 through M12 are filled. Any remaining, unmatchedquantity remains on the books, e.g., as a resting order at Value 4,which was the entered value or the message's value.

The system may traverse the queues and check the values in a queue, andupon finding the appropriate value, may locate the messages involved inmaking that value available to the system. When an outright messagevalue is stored in a queue, and when that outright message is involvedin a trade or match, the system may check the queue for the value, andthen may check the data structure storing messages associated with thatvalue.

In one embodiment, an exchange computing system may convert allfinancial instruments to objects. In one embodiment, an object mayrepresent the order book for a financial instrument. Moreover, in oneembodiment, an object may be defined by two queues, one queue for eachaction that can be performed by a user on the object. For example, anorder book converted to an object may be represented by an Ask queue anda Bid queue. Resting messages or orders associated with the respectivefinancial instrument may be stored in the appropriate queue and recalledtherefrom.

In one embodiment, the messages associated with objects may be stored inspecific ways depending on the characteristics of the various messagesand the states of the various objects in memory. For example, a systemmay hold certain resting messages in queue until the message is to beprocessed, e.g., the message is involved in a match. The order, sequenceor priority given to messages may depend on the characteristics of themessage. For example, in certain environments, messages may indicate anaction that a computer in the system should perform. Actions may becomplementary actions or require more than one message to complete. Forexample, a system may be tasked with matching messages or actionscontained within messages. The messages that are not matched may bequeued by the system in a data queue or other structure, e.g., a datatree having nodes representing messages or orders.

The queues are structured so that the messages are stored in sequenceaccording to priority. Although the embodiments are disclosed as beingimplemented in queues, it should be understood that different datastructures such as for example linked lists or trees may also be used.

The system may include separate data structures, e.g., queues, fordifferent actions associated with different objects within the system.For example, in one embodiment, the system may include a queue for eachpossible action that can be performed on an object. The action may beassociated with a value. The system prioritizes the actions based inpart on the associated value.

For example, as shown in FIG. 3C, the order book module of a computingsystem may include several paired queues, such as queues Bid and Ask foran object 302 (e.g., Object A). The system may include two queues, orone pair of queues, for each object that is matched or processed by thesystem. In one embodiment, the system stores messages in the queues thathave not yet been matched or processed. FIG. 3C may be an implementationof the data structures disclosed in FIGS. 3A and/or 3B. Each queue mayhave a top of book, or lead, position, such as positions 304 and 306,which stores data that is retrievable.

The queues may define the priority or sequence in which messages areprocessed upon a match event. For example, two messages stored in aqueue may represent performing the same action at the same value. When athird message is received by the system that represents a matchingaction at the same value, the system may need to select one of the twowaiting, or resting, messages as the message to use for a match. Thus,when multiple messages can be matched at the same value, the exchangemay have a choice or some flexibility regarding the message that ismatched. The queues may define the priority in which orders that areotherwise equivalent (e.g., same action for the same object at the samevalue) are processed.

The system may include a pair of queues for each object, e.g., a bid andask queue for each object. Each queue may be for example implementedutilizing the data structure of FIG. 3B. The exchange may be able tospecify the conditions upon which a message for an object should beplaced in a queue. For example, the system may include one queue foreach possible action that can be performed on an object. The system maybe configured to process messages that match with each other. In oneembodiment, a message that indicates performing an action at a value maymatch with a message indicating performing a corresponding action at thesame value. Or, the system may determine the existence of a match whenmessages for the same value exist in both queues of the same object. Themessages may be received from the same or different users or traders.

The queues illustrated in FIG. 3C hold or store messages received by acomputing exchange, e.g., messages submitted by a user to the computingexchange, and waiting for a proper match. It should be appreciated thatthe queues may also hold or store implieds, e.g., implied messagesgenerated by the exchange system, such as messages implied in or impliedout as described herein. The system thus adds messages to the queues asthey are received, e.g., messages submitted by users, or generated,e.g., implied messages generated by the exchanges. The sequence orprioritization of messages in the queues is based on information aboutthe messages and the overall state of the various objects in the system.

When the data transaction processing system is implemented as anexchange computing system, as discussed above, different clientcomputers submit electronic data transaction request messages to theexchange computing system. Electronic data transaction request messagesinclude requests to perform a transaction on a data object, e.g., at avalue for a quantity. The exchange computing system includes a datatransaction processor, e.g., a hardware matching processor or matchengine, that matches, or attempts to match, pairs of messages with eachother. For example, messages may match if they contain counterinstructions (e.g., one message includes instructions to buy, the othermessage includes instructions to sell) for the same product at the samevalue. In some cases, depending on the nature of the message, the valueat which a match occurs may be the submitted value or a better value. Abetter value may mean higher or lower value depending on the specifictransaction requested. For example, a buy order may match at thesubmitted buy value or a lower (e.g., better) value. A sell order maymatch at the submitted sell value or a higher (e.g., better) value.

Transaction Processor Data Structures

FIG. 4 illustrates an example embodiment of a data structure used toimplement match engine module 106. Match engine module 106 may include aconversion component 402, pre-match queue 404, match component 406,post-match queue 408 and publish component 410.

Although the embodiments are disclosed as being implemented in queues,it should be understood that different data structures, such as forexample linked lists or trees, may also be used. Although theapplication contemplates using queue data structures for storingmessages in a memory, the implementation may involve additionalpointers, i.e., memory address pointers, or linking to other datastructures. Thus, in one embodiment, each incoming message may be storedat an identifiable memory address. The transaction processing componentscan traverse messages in order by pointing to and retrieving differentmessages from the different memories. Thus, messages that may beprocessed sequentially in queues may actually be stored in memory indisparate locations. The software programs implementing the transactionprocessing may retrieve and process messages in sequence from thevarious disparate (e.g., random) locations.

The queues described herein may, in one embodiment, be structured sothat the messages are stored in sequence according to time of receipt,e.g., they may be first in first out (FIFO) queues.

The match engine module 106 may be an example of a transactionprocessing system. The pre-match queue 404 may be an example of apre-transaction queue. The match component 406 may be an example of atransaction component. The post-match queue 408 may be an example of apost-transaction queue. The publish component 410 may be an example of adistribution component. The transaction component may process messagesand generate transaction component results.

It should be appreciated that match engine module 106 may not includeall of the components described herein. For example, match engine module106 may only include pre-match queue 404 and match component 406. In oneembodiment, the latency detection system may detect how long a messagewaits in a pre-match queue 404 (e.g., latency), and compares the latencyto the maximum allowable latency associated with the message.

In one embodiment, the publish component may be a distribution componentthat can distribute data to one or more market participant computers. Inone embodiment, match engine module 106 operates according to a firstin, first out (FIFO) ordering. The conversion component 402 converts orextracts a message received from a trader via the Market Segment Gatewayor MSG into a message format that can be input into the pre-match queue404.

Messages from the pre-match queue may enter the match component 406sequentially and may be processed sequentially. In one regard, thepre-transaction queue, e.g., the pre-match queue, may be considered tobe a buffer or waiting spot for messages before they can enter and beprocessed by the transaction component, e.g., the match component. Thematch component matches orders, and the time a message spends beingprocessed by the match component can vary, depending on the contents ofthe message and resting orders on the book. Thus, newly receivedmessages wait in the pre-transaction queue until the match component isready to process those messages. Moreover, messages are received andprocessed sequentially or in a first-in, first-out (FIFO) methodology.The first message that enters the pre-match or pre-transaction queuewill be the first message to exit the pre-match queue and enter thematch component. In one embodiment, there is no out-of-order messageprocessing for messages received by the transaction processing system.The pre-match and post-match queues are, in one embodiment, fixed insize, and any messages received when the queues are full may need towait outside the transaction processing system or be re-sent to thetransaction processing system.

The match component 406 processes an order or message, at which pointthe transaction processing system may consider the order or message ashaving been processed. The match component 406 may generate one messageor more than one message, depending on whether an incoming order wassuccessfully matched by the match component. An order message thatmatches against a resting order in the order book may generate dozens orhundreds of messages. For example, a large incoming order may matchagainst several smaller resting orders at the same price level. Forexample, if many orders match due to a new order message, the matchengine needs to send out multiple messages informing traders whichresting orders have matched. Or, an order message may not match anyresting order and only generate an acknowledgement message. Thus, thematch component 406 in one embodiment will generate at least onemessage, but may generate more messages, depending upon the activitiesoccurring in the match component. For example, the more orders that arematched due to a given message being processed by the match component,the more time may be needed to process that message. Other messagesbehind that given message will have to wait in the pre-match queue.

Messages resulting from matches in the match component 406 enter thepost-match queue 408. The post-match queue may be similar infunctionality and structure to the pre-match queue discussed above,e.g., the post-match queue is a FIFO queue of fixed size. As illustratedin FIG. 4 , a difference between the pre- and post-match queues may bethe location and contents of the structures, namely, the pre-match queuestores messages that are waiting to be processed, whereas the post-matchqueue stores match component results due to matching by the matchcomponent. The match component receives messages from the pre-matchqueue, and sends match component results to the post-match queue. In oneembodiment, the time that results messages, generated due to thetransaction processing of a given message, spend in the post-match queueis not included in the latency calculation for the given message.

Messages from the post-match queue 408 enter the publish component 410sequentially and are published via the MSG sequentially. Thus, themessages in the post-match queue 408 are an effect or result of themessages that were previously in the pre-match queue 404. In otherwords, messages that are in the pre-match queue 404 at any given timewill have an impact on or affect the contents of the post-match queue408, depending on the events that occur in the match component 406 oncethe messages in the pre-match queue 404 enter the match component 406.

As noted above, the match engine module 106 in one embodiment operatesin a first in first out (FIFO) scheme. In other words, the first messagethat enters the match engine module 106 is the first message that isprocessed by the match engine module 106. Thus, the match engine module106 in one embodiment processes messages in the order the messages arereceived. In FIG. 4 , as shown by the data flow arrow, data is processedsequentially by the illustrated structures from left to right, beginningat the conversion component 402, to the pre-match queue, to the matchcomponent 406, to the post-match queue 408, and to the publish component410. The overall transaction processing system operates in a FIFO schemesuch that data flows from element 402 to 404 to 406 to 408 to 410, inthat order. If any one of the queues or components of the transactionprocessing system experiences a delay, that creates a backlog for thestructures preceding the delayed structure. For example, if the match ortransaction component is undergoing a high processing volume, and if thepre-match or pre-transaction queue is full of messages waiting to enterthe match or transaction component, the conversion component may not beable to add any more messages to the pre-match or pre-transaction queue.

Messages wait in the pre-match queue. The time a message waits in thepre-match queue depends upon how many messages are ahead of that message(i.e., earlier messages), and how much time each of the earlier messagesspends being serviced or processed by the match component. Messages alsowait in the post-match queue. The time a message waits in the post-matchqueue depends upon how many messages are ahead of that message (i.e.,earlier messages), and how much time each of the earlier messages spendsbeing serviced or processed by the publish component. These wait timesmay be viewed as a latency that can affect a market participant'strading strategy.

After a message is published (after being processed by the componentsand/or queues of the match engine module), e.g., via a market data feed,the message becomes public information and is publicly viewable andaccessible. Traders consuming such published messages may act upon thosemessage, e.g., submit additional new input messages to the exchangecomputing system responsive to the published messages.

The match component attempts to match aggressing or incoming ordersagainst resting orders. If an aggressing order does not match anyresting orders, then the aggressing order may become a resting order, oran order resting on the books. For example, if a message includes a neworder that is specified to have a one-year time in force, and the neworder does not match any existing resting order, the new order willessentially become a resting order to be matched (or attempted to bematched) with some future aggressing order. The new order will thenremain on the books for one year. On the other hand, an order specifiedas a fill or kill (e.g., if the order cannot be filled or matched withan order currently resting on the books, the order should be canceled)will never become a resting order, because it will either be filled ormatched with a currently resting order, or it will be canceled. Theamount of time needed to process or service a message once that messagehas entered the match component may be referred to as a service time.The service time for a message may depend on the state of the orderbooks when the message enters the match component, as well as thecontents, e.g., orders, that are in the message.

In one embodiment, orders in a message are considered to be “locked in”,or processed, or committed, upon reaching and entering the matchcomponent. If the terms of the aggressing order match a resting orderwhen the aggressing order enters the match component, then theaggressing order will be in one embodiment guaranteed to match.

As noted above, the latency experienced by a message, or the amount oftime a message spends waiting to enter the match component, depends uponhow many messages are ahead of that message (i.e., earlier messages),and how much time each of the earlier messages spends being serviced orprocessed by the match component. The amount of time a match componentspends processing, matching or attempting to match a message dependsupon the type of message, or the characteristics of the message. Thetime spent inside the processor may be considered to be a service time,e.g., the amount of time a message spends being processed or serviced bythe processor.

The number of matches or fills that may be generated in response to anew order message for a financial instrument will depend on the state ofthe data object representing the electronic marketplace for thefinancial instrument. The state of the match engine can change based onthe contents of incoming messages.

It should be appreciated that the match engine's overall latency is inpart a result of the match engine processing the messages it receives.The match component's service time may be a function of the message type(e.g., new, modify, cancel), message arrival rate (e.g., how many ordersor messages is the match engine module receiving, e.g., messages persecond), message arrival time (e.g., the time a message hits the inboundMSG or market segment gateway), number of fills generated (e.g., howmany fills were generated due to a given message, or how many ordersmatched due to an aggressing or received order), or number of Mass Quoteentries (e.g., how many of the entries request a mass quote).

In one embodiment, the time a message spends: being converted in theconversion component 402 may be referred to as a conversion time;waiting in the pre-match queue 404 may be referred to as a wait untilmatch time; being processed or serviced in the match component 406 maybe referred to as a matching time; waiting in the post-match queue 408may be referred to as a wait until publish time; and being processed orpublished via the publish component 410 may be referred to as apublishing time.

It should be appreciated that the latency may be calculated, in oneembodiment, as the sum of the conversion time and wait until match time.Or, the system may calculate latency as the sum of the conversion time,wait until match time, matching time, wait until publish time, andpublishing time. In systems where some or all of those times arenegligible, or consistent, a measured latency may only include the sumof some of those times. Or, a system may be designed to only calculateone of the times that is the most variable, or that dominates (e.g.,percentage wise) the overall latency. For example, some marketparticipants may only care about how long a newly sent message that isadded to the end of the pre-match queue will spend waiting in thepre-match queue. Other market participants may care about how long thatmarket participant will have to wait to receive an acknowledgement fromthe match engine that a message has entered the match component. Yetother market participants may care about how much time will pass fromwhen a message is sent to the match engine's conversion component towhen match component results exit or egress from the publish component.

Multi-Dimensional Transaction Processing

FIG. 5 depicts an example of an exchange computer system 100 configuredto implement multi-dimensional transaction processing. The exchangecomputer system 100 may be implemented with one or more mainframe,desktop or other computers, such as the example computer 200 describedherein with respect to FIG. 2 . A user database 102 may be providedwhich includes information identifying traders and other users ofexchange computer system 100, such as account numbers or identifiers,user names and passwords. An account data module 104 may be providedwhich may process account information that may be used during trades.The exchange computer system 100 accepts formatted electronicsubmissions of multi-dimensional orders for each traded product frommarket participants. The multi-dimensional orders include multipledifferent variables from which the value of the underlying commodity orproduct may be derived. These variables may, for example, define thecomposition of the commodity, delivery dates, delivery ports, contractterms, or other attributes that may provide or remove some value for amarket participant. The multi-dimensional orders allow a marketparticipant to specify price points for different combinations of thevariables that concern the market participant. A set of solutions isgenerated by the multi-dimensional order processing module 536. The setof solutions is entered into the multi-dimensional order book, whichsorts each set of solutions in several ways—by price level and ordinallyby individual attribute level entry. The multi-dimensional match engineattempts to match one or more price points in the solutions set forpreviously received but unsatisfied orders stored in themulti-dimensional order book.

A risk management module 134 may be included to compute and determine aparticipant's risk utilization in relation to the participant's definedrisk thresholds. The risk management module 134 may also be configuredto determine risk assessments or exposure levels in connection withpositions held by a market participant. The risk management module 134may be configured to administer, manage or maintain one or moremargining mechanisms implemented by the exchange computer system 100.Such administration, management or maintenance may include managing anumber of database records reflective of margin accounts of the marketparticipants.

A message management module 116 may be included to, among other things,receive, and extract orders from, electronic data transaction requestmessages. The message management module 116 may define a point ofingress into the exchange computer system 100 where messages are orderedand considered to be received by the system. This may be considered apoint of determinism in the exchange computer system 100 that definesthe earliest point where the system can ascribe an order of receipt toarriving messages. The point of determinism may or may not be at or nearthe demarcation point between the exchange computer system 100 and apublic/internet network infrastructure. The message management module116 processes messages by interpreting the contents of a message basedon the message transmit protocol, such as the transmission controlprotocol (“TCP”), to provide the content of the message for furtherprocessing by the exchange computer system 100.

The message management module 116 may also be configured to detectcharacteristics of an order for a transaction to be undertaken in anelectronic marketplace. For example, the message management module 116may identify and extract order content such as a price, product, volume,and associated market participant for an order. The message managementmodule 116 may also identify and extract data indicating an action to beexecuted by the exchange computer system 100 with respect to theextracted order. For example, the message management module 116 maydetermine the transaction type of the transaction requested in a givenmessage. A message may include an instruction to perform a type oftransaction. The transaction type may be, in one embodiment, arequest/offer/order to either buy or sell a specified quantity or unitsof a financial instrument at a specified price or value. The messagemanagement module 116 may also identify and extract other orderinformation and other actions associated with the extracted order. Allextracted order characteristics, other information, and associatedactions extracted from a message for an order may be collectivelyconsidered an order as described and referenced herein.

The message management module 116 may be configured to determine if theincoming order is a properly formatted multi-dimensional order includingdata representing a price frontier. A price frontier is a dataset thatincludes a series of price points for different variations of a product.The price points may be calculated for the different variation using oneor more functions provided by the participant. Unpacking thefunctions/price frontier provides a linked series of price points forthe different variations. An example of a price frontier is providedbelow for a generic metallic ore product.

A sample price frontier may be received for a nonstandard market for asample metallic ore. The metallic ore market as described includesmultiple different variables from which the value of the metallic oremay be derived. In this example, the metallic ore includes threecommodity variables (A, B, and C) that are used to describe thecomposition of the metallic ore. Other variables may also be used, forexample, delivery dates, delivery ports, contract terms, or others. Inan embodiment, each of these variables may set to a default standardizedvalue. Each participant may value the level of each variable differentlyand as such may assign a different price to offsets from a standardizedvalue. For example, a participants may value certain compositionsdifferently than another participant while one participant may value thedelivery port or contract terms while not being concerned as much withthe compositions.

In this example, higher levels of A and lower levels of B and C aregenerally desirable to most participants in the market. The percentagesof A, B, and C are denominated and rounded to 0.5%. For example, adelivery including metallic ore comprising 60.4% A would be rounded upand considered equivalent to 60.5% A metallic ore. A benchmark unit maybe defined by the exchange computing system and may be agreed upon byeach and all participants. The benchmark unit is used as an anchor fromwhich offset described in the price frontiers are generated from. Anybenchmark unit may be used. For example, in this example, the benchmarkunit may be metallic ore that includes 60% A, 10% B, and 5% C. In anembodiment, a benchmark unit may not be defined, but rather the valueimputed explicitly into the price frontiers. In an example pricefrontier, a user may submit a price frontier using a message formatdescribed below. The price frontier describes the price points that theparticipant is willing to pay for the metallic ore. A sample functioncould be Price Frontier=P+[(A−0.60)*X+(B−0.10)*Y+(C−0.10)*Z)]. P is abenchmark price (e.g., what would be considered the price under a singlecommodity marketplace). The variables A, B, C and X, Y, and Z describeattributes of the ore and the premiums that the participant is willingto pay for each respective variable. For example, in the function, theparticipant is willing to pay X premium for any percentage of A over60%. Similarly, the participant is willing to pay Y premium for anypercentage of B over 10%. X, Y, and Z may be set to positive or negativevalues so that the participant may select to pay more or less dependingon the participants desires. By adjusting X, Y, and Z the participantcan adjust the total price for the metallic ore that they are willing topurchase. In a standardized system, the participant may be locked into aspecific grade of ore and specific premiums and discounts. Using a pricefrontier, the participant is able to bid exactly where they would liketo be. Standardized premiums and discounts may still be used by theparticipants if they would like to use the standard premiums anddiscounts, but they do not have to. The flexibility allows a participantto exclude specific grades of metallic ore that they cannot handle orare not profitable while bidding more for specific grades that, forexample, their smelter may be configured to handle.

The example price frontier described above may use a simple function.Each of the variables X, Y, and Z may nest more complexity. For example,X may represent multiple different variables or may be dependent on thevalue of Y. The complexity of the price frontier may be limited by theinterface and the messaging systems. The price frontier may also belimited by the size of the market place. Each commodity variable A, B,C, etc. may be limited using step sizes. In the example described above,the step size of A may be limited to 0.5% steps. Each commodity variableA, B, C, etc. may also be limited by a maximum and minimum bound. A, forexample, may range from 50% to 70%. Given these ranges and the 0.5% stepsize, the total possible A values may be 40 (50, 50.5, 51, . . . 70). Ifthere are 30 possible B values and 20 possible C values the total numberof possible combinations is 40×30×20 or 24,000. The price frontierdescribed above P+[(A−0.60)*X+(B−0.10)*Y+(C−0.10)*Z)] as such provides24,000 price points at which the participant would be willing topurchase the metallic ore. If the participant does not wish toparticipate at each of these levels, the participant may adjust theprice frontier to exclude certain ranges or combinations. For example,the participant may set the price frontier to only include values of Afrom 60% to 64% and values of B from 8% to 10%.

A multi-dimensional order processing module 536 may be included todecompose multi-dimensional, delta-based, spread instrument, bulk andother types of composite orders for processing by the multi-dimensionalorder book module 510 and/or the multi-dimensional match engine module506. The multi-dimensional order processing module 536 may also be usedto implement one or more procedures related to clearing an order. Theorder may be communicated from the message management module 116 to themulti-dimensional order processing module 536. The multi-dimensionalorder processing module 536 may be configured to interpret thecommunicated order, and manage the order characteristics, otherinformation, and associated actions as they are processed through amulti-dimensional order book module 510 and eventually transacted on anelectronic market. For example, the order processing module 536 maystore the order characteristics and other content and execute theassociated actions.

The multi-dimensional order processing module 536 may be implemented asa separate component or as one or more logic components, such as on anFPGA which may include a memory or reconfigurable component to storelogic and a processing component to execute the stored logic, or asfirst logic, e.g. computer program logic, stored in a memory, such asthe memory 204 shown in FIG. 2 and described in more detail above withrespect thereto, or other non-transitory computer readable medium, andexecutable by a processor, such as the processor 202 shown in FIG. 2 anddescribed in more detail above with respect thereto, to cause themulti-dimensional order processing module 536 to, or otherwise beoperative to receive an incoming multi-dimensional order and determine aset of solutions described by data included in the incomingmulti-dimensional order, for example, by unpacking one or more functionsfor different variables to generate price points for each permissiblecombination.

In an embodiment, the multi-dimensional order processing module 536 mayexecute an associated action of placing the order into an order book foran electronic trading system managed by the multi-dimensional order bookmodule 510. In an embodiment, placing an order into an order book and/orinto an electronic trading system may be considered a primary action foran order. The multi-dimensional order processing module 518 may beconfigured in various arrangements, and may be configured as part of themulti-dimensional order book module 510, part of the message managementmodule 116, or as an independent functioning module.

In an embodiment, the price frontier included in the multi-dimensionalorder may be mapped to a matrix or database in which each possiblecombination is assigned a price. In the example above, the total numberof combinations is twenty four thousand. A price may be calculated foreach combination using an incoming or existing price frontier. Thecalculated prices may be stored in a data structure or dataset, forexample, a multi-dimensional order book data structure. Each of theprice points for a price frontier may be linked so that if one ordermatches at least a partial quantity then the quantity for whole of theprice frontier is decreased.

A multi-dimensional match engine module 506 is included to match bid andoffer prices and may be implemented with software that executes one ormore algorithms for matching bids and offers. A trade database 108 maybe included to store information identifying trades and descriptions oftrades. In particular, trade database 108 may store informationidentifying the time that a trade took place and the contract price. Themulti-dimensional match engine module 506 may be implemented as aseparate component or as one or more logic components, such as on anFPGA which may include a memory or reconfigurable component to storelogic and a processing component to execute the stored logic, or asfirst logic, e.g. computer program logic, stored in a memory, such asthe memory 204 shown in FIG. 2 and described in more detail above withrespect thereto, or other non-transitory computer readable medium, andexecutable by a processor, such as the processor 202 shown in FIG. 2 anddescribed in more detail above with respect thereto, to cause themulti-dimensional match engine module 506 to, or otherwise be operativeto match at least partially some quantity at one or more price pointsunpacked from an incoming multi-dimensional order message with apreviously received but unsatisfied data transaction request message.The previously received but unsatisfied data transaction request messagemay be multi-dimensional order message or may be a single dimensionorder message (price/quantity for a standardized commodity).

The matching engine matches incoming orders with resting orders. If theincoming order is a price frontier to buy, the matching engine attemptsto match any of the price points in the price frontier with an existingprice point to sell. If the incoming order is an order to sell, thematching engine attempts to match any of the price points in theincoming price frontier with an existing price point to buy stored inthe order book data structure. While the examples described hereinrelate to price frontiers that contain more than one price point fordifferent variations of the commodity or instrument, the datatransaction system is also configured to handle typical order formatsthat include a price and a quantity. Typical order formats are for astandardized commodity, e.g., one with a set range of acceptablevariations. The matching engine may receive such a standard order formatand attempt to match the incoming order with the combination as itexists as a single point on the order book data structure. In anembodiment, the matching engine may use vector matching to matchincoming orders with resting orders.

If the exchange computer system identifies that an incoming market ordermay be filled by a combination of multiple resting orders, e.g., theresting order at the best price only partially fills the incoming order,the exchange computer system may allocate the remaining quantity of theincoming, i.e., that which was not filled by the resting order at thebest price, among such identified orders in accordance withprioritization and allocation rules/algorithms, referred to as“allocation algorithms” or “matching algorithms,” as, for example, maybe defined in the specification of the particular financial product ordefined by the exchange for multiple financial products. Similarly, ifthe exchange computer system identifies multiple orders contra to theincoming limit order and that have an identical price which is favorableto the price of the incoming order, i.e., the price is equal to orbetter, e.g., lower if the incoming order is a buy (or instruction topurchase, or instruction to acquire) or higher if the incoming order isa sell (or instruction to relinquish), than the price of the incomingorder, the exchange computer system may allocate the quantity of theincoming order among such identified orders in accordance with thematching algorithms as, for example, may be defined in the specificationof the particular financial product or defined by the exchange formultiple financial products.

In an example, an incoming multi-dimensional order for a set quantitymay match with multiple resting orders. The priority for filling theincoming multi-dimensional order may be defined by the exchange computersystem 100 in the specification of the particular financial product. Inon example, the specification may state that incoming multi-dimensionalorders are always match the best buy price first or match the best sellprice first. Alternatively, in an embodiment, the participant thatsubmits the multi-dimensional order may provide a preference, e.g.,assign priority to certain combinations or ranges of combinations.

In another example, an incoming sell order may be matched with the bestbid available for the sell order, e.g., the highest price. If there area range of sell orders in a multi-dimensional order, the order may bematched with the best available buy order for any of the combinations inthe sell order. Similar to incoming multi-dimensional buy orders, thematching priority of incoming multi-dimensional sell orders may bedefined by the exchange computer system 100 in the specification of theparticular financial product.

In an embodiment, the multi-dimensional match engine module 506 mayinclude multiple match engines. The multiple match engines or matchengine processors may attempt to find matches for the incoming order inparallel across the multi-dimensional order book data structure.

A multi-dimensional order book module 510 may be included to compute orotherwise determine current bid and offer prices, e.g., in a continuousauction market, or also operate as an order accumulation buffer for abatch auction market. The multi-dimensional order book module 510 may beimplemented as a separate component or as one or more logic components,such as on an FPGA which may include a memory or reconfigurablecomponent to store logic and a processing component to execute thestored logic, or as first logic, e.g. computer program logic, stored ina memory, such as the memory 204 shown in FIG. 2 and described in moredetail above with respect thereto, or other non-transitory computerreadable medium, and executable by a processor, such as the processor202 shown in FIG. 2 and described in more detail above with respectthereto, to cause the multi-dimensional order book module 510 to, orotherwise be operative to store data associated with the set ofsolutions if at least one solution of the set of solution of the firstelectronic data request message does not match fully with a previouslyreceived but unsatisfied electronic data transaction request messagecounter thereto stored in the multi-dimensional order book module 510.

The order book stores resting orders. The order book structure may storeorders in different ways. One data structure for the order stores theorders using a function such as was used to define the price frontier inthe electronic submission. In this embodiment, each price frontier maybe unpacked to match against incoming orders. The order book datastructure may also store an approximation along with the price frontier.The approximation may identify a lower bound (or higher bound) for theprice frontier for the price points. When matching, the approximationmay be checked first to determine if the price frontier should beunpacked and processed by the matching engine.

A second data structure may unpack the electronic submission and storeeach of the points of data in a data structure that, for example, may besorted or organized by price level and by individual attribute levelentry. The second data structure may only store a limited number ofprice points from resting price frontiers for each combination. Forexample, if price frontiers A, B, and C representing buy orders areresting on the order book, the second data structure may unpack each ofthe three and identify a best bid (e.g., highest bid price) for eachcombination. In this way, even if there are tens or hundreds orthousands of price frontiers that are resting, the order book datastructure may only store a small number of price points. Each pricepoint stored in the order book data structure may point back to therespective price frontier from which it was unpacked.

A third data structure may store the electronic submission in a datamap. Similar to storing the electronic submission using each pricepoint, the data structure may be represented as a two dimension chartwhere each possible data point is mapped against the price level. Eachprice frontier may comprise a layer in the data structure. When laid ontop of one another, the resulting map may represent the bid or offerfrontier for the market.

A multi-dimensional market data module 512 may be included to collectmarket data and prepare the data for transmission to users. For example,the market data module 112 may prepare the market data feeds describedherein.

FIG. 6 depicts an example method for processing electronic datatransaction request messages in a data transaction processing system inwhich data objects are transacted by data transaction processors thatmatch electronic data transaction request messages for data objectsreceived from different client computers over a data communicationsnetwork.

At act A110, a first electronic data transaction request message toperform a transaction is received. The first electronic data transactionrequest message includes data representative of at least a firstfunction for a first attribute of an object and a second function for asecond attribute of the object. The first electronic data transactionrequest message includes data that describes a multi-dimensional orderalso referred to as a price frontier. A price frontier may be defined byat least the first function and the section function. The price frontiermay be defined by multiple functions that describe the pricing scheme aparticipant desired to put forth. Functions may be simple equations,step function, or a set of price points among others.

FIG. 7 depicts an example list of premiums and discounts a participantis willing to offer for specific grades of iron ore. Each participantmay value the ranges and compositions differently. The premiums anddiscounts of FIG. 7 may be translated into one or more functions. Forexample, a first function may describe the premiums for FE content %, asecond function may describe the premiums for Silicon Dioxide content,and a t third function may describe the premiums for Aluminum Oxide. Thefunctions may define offsets from a static or dynamic benchmark value.When combined together the three functions describe the price points atwhich the participant is willing to pay for compositions of iron ore. Asdepicted, the participant is willing to pay a premium for FE contentover 62% but wants a discount on iron ore with a silicon dioxidecomposition of more than 4%. The participant may define step values,minimum, and maximums for the variables. The step values, minimums,maximums, and functions templates may be defined by a specificationgenerated by the exchange computing system 100. The specification may beembedded in the interface for the participant so that the resultingoutput transaction request message conforms to a standard that is agreedupon and straightforward to process. The interface is described below atsection XII. The participant, using the interface, transmits themulti-dimensional transaction request message to the data transactionsystem. The participant may be able to adjust the functions used to thecreate the multi-dimensional transaction request message using theinterface. Any updates to a previously transmitted multi-dimensionaltransaction request message may thus be made and sent to the datatransaction system.

At act A120, the data transaction processor determines a set ofsolutions based on the first function and the second function. The datatransaction processor may unpack the multi-dimensional order bycalculating price points for each possible combination covered by themulti-dimensional order. The set of possible combinations may be limitedby a defined step size, maximum value, and minimum value for each of thevariables. The step size, maximum value and minimum values may bedetermined by a specification for the commodity that is defined andmanaged by the exchange computing system 100. The step size, maximumvalue and minimum values may be adjusted by the exchange computingsystem 100 to meet demand and also to manage computing resources andtime required to determine the set of solutions. The set of solutionsmay also be limited by the resting orders on the order book for thecommodity. For the matching process, the data transaction processor mayonly identify solutions for possible values or value range of restingorders on the order book.

The multi-dimensional order may include functions that reference abenchmark variable. For example, a function may include a reference to abenchmark index price published by a reputable source. In such ascenario, the data transaction processor may retrieve a value for thevariable to calculate the set of solutions. In an embodiment, the set ofsolutions may be constantly recalculated if the set of solutions ispegged to a changing benchmark value. The data transaction processor maylimit the number of recalculations in order to manage computer resourcesand the complexity of the set of solutions. For example, the datatransaction processor may only recalculate the set of solutions everyminute, five minutes, every hour, or every day among other time periods.

In an embodiment, the data transaction processor does not determine theset of solutions unless the multi-dimensional order is expected to crossan existing order on the order book. The data transaction processor maycompare the functions in the multi-dimensional order with functionsrepresenting the current resting orders. The data transaction processormay after each order is received and process (either matched or rested),generate a fitted curve that describes the best offers and bids restingon the order book. The fitted curve may not exactly represent the bestoffers and bids (by fitting, certain offers and bids may be diminishedor increased). However, the fitted curve may be used as a gatekeeper todetermine if an incoming order is going to possibly match. If, forexample, the incoming order is not within a range of the fitted curve,the incoming order may be deprioritized. The incoming order mayeventually be processed, for example, to rest on the order book, but notimmediately.

FIGS. 8A and 8B depicts an example partial set of solutions and set ofsolutions curve respectively. The example table of FIG. 8A only containsa subset of the possible combinations. As depicted, the table lists theFE, the silicon dioxide, and the aluminum oxide compositions and therespective offsets defined by the table of FIG. 7 . The total value iscalculated as a combination of the offsets and a benchmark price. Thebenchmark price may be set by the participant or may float according toan index or function. In FIG. 8B, each of the combinations is graphed byprice. The entire set of solutions of around 14,000 combinations forms aprice curve that may be compared to other incoming transaction request.Alternatively, or additionally, each price point in the set of solutionsmay be compared to resting order (or incoming orders) as describedbelow.

At act A130, matching, by a matching processor, at least partially, atleast one solution of the first set of solutions of the first electronicdata transaction request with at least one other previously received butunsatisfied electronic data transaction request message counter theretostored in an order book data structure. The order book data structurestores a plurality of set of solutions determined from a plurality ofpreviously received but unmatched electronic data transaction requestmessages. The matching processer is configured to identify matchingbetween incoming orders and resting orders on the order book. Anincoming order may be an “aggressor” order, i.e., a market order to sella given quantity of one or more different compositions of the commodityat whatever may be the current resting bid order price(s) or a marketorder to buy a given quantity at whatever may be the current resting askorder price(s). An incoming order may be a “market making” order, i.e.,a market order to buy or sell at a price for which there are currentlyno resting orders. In particular, if the incoming order is a bid, i.e.,an offer to buy, then the identified order(s) will be an ask, i.e., anoffer to sell, at a price that is identical to or higher than the bidprice. Similarly, if the incoming order is an ask, i.e., an offer tosell, the identified order(s) will be a bid, i.e., an offer to buy, at aprice that is identical to or lower than the offer price.

The matching processor may consider each solution in the set of solutionas a linked order. Each solution may be checked against datarepresenting the respective combination of variables to see if therespective solution crosses a previously received order. If multiplesolutions match against resting orders, the priority may be given to thebest resting order, e.g., the highest bid if the incoming order is asell order or lowest ask if the incoming order is a buy order.Alternatively, the matching solution may be selected by a prioritydefined by the specification for the product.

If the exchange computer system identifies that an incoming market ordermay be filled by a combination of multiple resting orders, e.g., aresting order at the best price only partially fills the incoming order,the exchange computer system may allocate the remaining quantity of theincoming, i.e., that which was not filled by the resting order at thebest price, among such identified orders in accordance withprioritization and allocation rules/algorithms, referred to as“allocation algorithms” or “matching algorithms,” as, for example, maybe defined in the specification of the particular financial product ordefined by the exchange for multiple financial products. Similarly, ifthe exchange computer system identifies multiple orders contra to theincoming limit order and that have an identical price which is favorableto the price of the incoming order, i.e., the price is equal to orbetter, e.g., lower if the incoming order is a buy (or instruction topurchase, or instruction to acquire) or higher if the incoming order isa sell (or instruction to relinquish), than the price of the incomingorder, the exchange computer system may allocate the quantity of theincoming order among such identified orders in accordance with thematching algorithms as, for example, may be defined in the specificationof the particular financial product or defined by the exchange formultiple financial products. These algorithms for distribution includeallocation, FIFO, FIFO with LMM, FIFO with Top Order and LMM, Pro-rata,and Threshold Pro-rata. These algorithms are applicable for multipleresting solutions that match multiple incoming multiple solutions aswell as multiple resting orders that match one solution.

FIG. 9 depicts an example of matching transactions. FIG. 9 depicts twoprice frontier curves (two set of solutions) including the pricefrontier of FIG. 8 . The set of solutions of each price frontier may beunpacked or determined at act A120. Each point in an incoming set ofsolutions may be compared against resting solutions. If a match isfound, the incoming order is matched, and a report is generated. In FIG.9 , there are eleven matches between the two price frontier curves. Formost price points in the set of solutions the two curves do not cross.But, however, at the points where the two interest there is an agreementfor a price for a specific composition of iron ore. The matchingalgorithm may determine which of the price points and compositions arefilled. If the quantity is sufficient to fill either of the pricefrontiers, the respectively completed price frontier will be removedfrom the order book data structure.

After matching, the order book data structure and the matching processorgenerate a report as described above. The completed trade may bepublished for all the participants to access. If there is not match or apartial match, the order book data structure and matching processor mayalso generate a report detailing the updated state of the order bookdata structure as described above.

Multi-Dimensional Transaction Interface

The transaction of a multi-dimensional order requires a protocol bywhich trade messages containing the possibly tens of thousands of pricepoints are represented in a message packet. In addition,multi-dimensional orders require an interface by which the marketplacemay be viewed and by which a multi-dimensional order may be generated.

Front end interfaces may be installed at trader and broker(participants) desktops. The interfaces are the mechanism by which usersenter specialized price frontiers that may be understood by the exchangecomputing system 100. The interfaces use an expanded messaging protocolas the current message protocols cannot accept the multi-dimensionalorder types. The interface maintains an updated version of thespecification for objects that have variable compositions. The interfacethus automatically transforms participant input into a formatted messagethat allows a single message to convey multiple different possibleorders.

As described above, one commodity that may use multi-dimensional ordersto improve the marketplace and reduce computational resources is ironore. Iron ore, like other physical commodities, is not a fungiblecommodity. Different variations of iron ore exist that hold differentvalues for different producers and consumers. As described above, FIG. 7depicts an example list of premiums and discounts a participant iswilling to offer for specific grades of iron ore. Each participant mayvalue the ranges and compositions differently. The premiums anddiscounts of FIG. 7 may be translated into one or more functions. Forexample, a first function may describe the premiums for FE content %, asecond function may describe the premiums for Silicon Dioxide content,and a third function may describe the premiums for Aluminum Oxide. Thefunctions may define offsets from a static or dynamic benchmark value.When combined together the three functions describe the price points atwhich the participant is willing to pay for compositions of iron ore. Asdepicted, the participant is willing to pay a premium for FE contentover 62% but wants a discount on iron ore with a silicon dioxidecomposition of more than 4%. The participant may define step values,minimum, and maximums for the variables. The step values, minimums,maximums, and functions templates may be defined by a specificationgenerated by the exchange computing system 100. The specification may beembedded in an interface for the participant so that the resultingoutput transaction request message conforms to a standard that is agreedupon by all participants and the exchange. The participant uses theinterface to generate and transmit the multi-dimensional transactionrequest message to the data transaction system.

FIG. 10 depicts an example workflow for facilitating trading of anobject being transacted in a data transaction system usingmulti-dimensional orders. Embodiments include a display/trade entrydevice for defining a multi-dimensional order type and a matching enginefor processing a multi-dimensional order type (See Section XI. above). Adisplay device includes a user interface for visualizingnon-standardized product markets and price frontiers and for definingpersonalized price frontiers that can be submitted to themulti-dimensional matching engine.

At act A210, a specification for a data object is identified. Thespecification for the data object includes at least a first variable anda second variable. A variable may represent any parameter that may beassigned a value by a participant. Examples of variables may include thecomposition of a commodity, the delivery date, the delivery location,the quantity, among others. Variables may represent any negotiableaspect of a commodity, for example from who is responsible for demurrageto the packaging to the parties involved etc. The specification for thedata object may identify each of the variables and their ranges. Thespecification may be defined by the exchange computing system 100. Aspecification for a data object may define the possible combinations ofvariables that may be used to price the data object. In an of aspecification for iron ore, the specification may include possibleranges and step sized of material compositions. For example, thecompositions and ranges may be set for Iron (Fe)≥60.0%; Silicon dioxide(SiO₂)+Aluminum oxide (Al₂O₃)≤8.5%; Silicon dioxide (SiO₂)≤6.5%;Aluminum oxide (Al₂O₃)<3.5%; Phosphorus (P)≤0.15%; Sulfur (S)≤0.20% andthe Grain size—not less than 70% are finer than 0.075 mm. In anembodiment, each variable may also be assigned a step size. Standardpremiums and discounts may also be defined. The specification provides atemplate for generating a price frontier and a multi-dimensional order.The specification may define a messaging format and other parameters fortransmitting the multi-dimensional order.

At act A220, one or more graphs are generated for the first variable anda second variable. The graphs may represent a price curve for eachvariable described in the specification. Price curves may be defined bythe participant to reflect the premiums and discounts that theparticipant selects. The participant may set the price curve to behigher for grades or variables that the participant desires. Theparticipant may zero out certain points or ranges that the participantdoes not want. The price curve for each variable may be linear,quadratic, or involve additional functions. The price curve may becalculated using multiple constants and variables in addition to thespecific variable described in the specification. An example of aconstant is a benchmark value that may be defined by reputable sourcesor exchanges. The benchmark value may be the official spot price fromwhich any offsets are calculated.

FIG. 11 depicts an example interface for facilitating trading of anobject being transacted in a data transaction system usingmulti-dimensional orders. FIG. 11 includes a plurality of screen or eachof a plurality of attributes associated with a data object (here Ironore). Each screen displays a price-attribute pair graph 1104. Asdepicted, the current selection of the Silicon Dioxide tab 1102 bringsup a price-attribute pair graph 1104 for Silicon Dioxide. FIG. 11further includes a graph of the overall iron ore market. The marketprice frontiers 1106 are displayed (ordered by price level.) The marketprice frontiers 1106 are provided by a market data feed from the datatransaction processing system. The data transaction processing systempublishes market data representing the state of the order book for thecommodity. In an embodiment, the data transaction processing system maygenerate a fitted curve that represents the inside or best bid and askprices for each of the combinations resting on the order book. Thefitted curve or the actual data, such as level 1 representing the insideprices, may be received and displayed by the interface. The fitted curvemay be easier to visually display when dealing with thousands ofpossible combinations. The actual price points may be identified by theinterface to indicate to the participant if their price frontier maymatch an existing price point but may not be depicted. Additionalinformation, such as level 2 information may include all the availableprices that market makers and electronic communication networks (ECN)post. A participant may configure the interface to display the level 1or level 2 data or other information that the participant desires to seewhen generating price frontiers.

At act A230, a first value is received for a first variable and a secondvalue if received for a second variable. Values for the variable may beinput by a participant or automatically, for example, by an algorithm. Auser may use input controls such as sliders and zoom in/out to examinespecific regions of the price frontier. A table may be used or displayedwith the price-attribute pair graphs to input the values. The table,including scroll bars, presents and displays all possible attributelevel combinations, their current bids and offers, available sizes andthe user's bid or offer price frontiers (or both) along with theirquantity vectors. After the interface receives an input, at act A240,the one or more graphs are updated based on the first value and thesecond value.

As depicted, FIG. 11 includes a price-variable table 1108 that listsspecific bids, offsets, quantities, and other transaction related data.The data from price-variable table 1108 may be used to generate thevisual price-attribute pair graph 1104. A participant may input afunction in the formula field 1112 to generate a price frontier. Theresult of the function may be shown in the price-variable table 1108 andin the price-attribute pair graph 1104. The formula field 1112, theprice-variable table 1108, and the price-attribute pair graph 1104 mayall be linked so that a change to data of one may alter the other two.For example, a user can use a stylus pen on a capacitive screen to drawor point out a curve on the price-attribute pair graph 1104. The inputdata may be translated into the formula field 1112 and theprice-variable table 1108. The formula field 1112 may be limited in itscomplexity by a specification defined by the data transaction processingsystem. For example, the specification may limit the variables,multipliers, coefficients, etc. of the function so that the pricefrontier may be packaged and transmitted to the data transaction systemin a formatted standardized message. The formula or function in theformula field 1112 may be indicative of a range of values, e.g., whichmay satisfy a parameter of the order. The range may be continuous ordiscontinuous, bounded or unbounded. When the participant has inputtheir desired price frontier, the user selects the update price frontierbutton 1110 which locks in the function (but does not transmit). Theparticipant may then make any changes to the other variables. Once allthe functions and ranges for each of the variables has been input, theinterface may generate a price frontier for the commodity thataggregates all the formulas and functions.

At act A250, a price frontier graph for the data object is generated.The price frontier graph may be an aggregation of each of the one ormore individual graphs for the variables. If one of the individualgraphs or values for the variables are adjusted, the price frontiergraph may be adjusted as well to reflect the change.

FIG. 12 depicts a view of the price frontier graph. FIG. 12 includes anaggregation window displaying a price frontier graph 1204 based on theprice-attribute pair graphs 1104. In addition to the user defined pricefrontier, the aggregation window may also display the current aggregateprice frontiers from a data feed provided by the data transactionprocessing system. FIG. 12 also displays a table 1206 that lists theprice combination of the price frontier defined by the user. The table1206 and graph 1204 may be adjusted by the participant to alter thebids/offsets. Once a participant has finalized the price frontier, theuser selects the commit pricing frontier 1208.

Once the price frontier is finalized by the user, at act A260, a datatransaction request message is generated. The data transaction requestmessage may be generated as a function of the price frontier graph andthe underlying functions and formulas used to generate the pricefrontier. The data transaction processing system requires a protocol bywhich trade messages containing the possibly tens of thousands of pricepoints are represented in a message packet. A specification or productdefinition file may define the fields, headers, and other components ofthe message packet. The specification may define and limit the format offunctions used to define the multi-dimensional order that represents theprice combination defined by the price frontier created by theparticipant. The message may include the coefficients of step functionsfor the pricing frontiers. The message protocol may also include theformats for step functions.

At act A270, the data transaction request message is transmitted to thedata transaction processing system. The properly formatted datatransaction request message is indicative of the price frontiers thathave been input by the participant. Using the price frontiers, theparticipant is able to generate and transmit a large range of bids thathave granular pricing that matches the participant's evaluation ofdifferent variables or compositions for the commodity.

In an example workflow, a sample price frontier may be generated for anonstandard market for a sample metallic ore. The metallic ore marketincludes multiple different variables from which the value of themetallic ore may be derived. In this example, the metallic ore includesthree variables (A, B, and C) that are used to describe the compositionof the metallic ore. Each participant in the marketplace may value thelevel of each variable differently and as such may assign a differentprice to offsets from a standardized value. Higher levels of A and lowerlevels of B and C may be most desirable to most participants in themarket. In this example, the percentage compositions of A, B, and C aredenominated and rounded to 0.5%. For example, a delivery includingmetallic ore comprising 60.4% A would be rounded up and consideredequivalent to 60.5% A metallic ore.

A benchmark unit may be defined by the data transaction processingsystem and may be agreed upon by each and all participants. Thebenchmark unit is used as an anchor from which offset described in theprice frontiers are generated from. Any benchmark unit may be used. Forexample, in this example, the benchmark unit may be metallic ore thatincludes 60% A, 10% B, and 5% C. In an embodiment, a benchmark unit maynot be defined, but rather the value imputed explicitly into the pricefrontiers.

In an example price frontier, an interface for a participant maytransmit a price frontier using a message format described below. Theprice frontier describes the price points that the participant iswilling to pay for the metallic ore. A sample function could be: PriceFrontier=P+[(A−0.60)*X+(B−0.10)*Y+(C−0.10)*Z)]. P is a benchmark price(e.g., what would be considered the price under a single commoditymarketplace). The variables A, B, C and X, Y, and Z describe thecomposition of the ore and the premiums that the participant is willingto pay for each respective variable. For example, in the function, theparticipant is willing to pay X premium for any percentage of A over60%. Similarly, the participant is willing to pay Y premium for anypercentage of B over 10%. X, Y, and Z may be set to positive or negativevalues so that the participant may select to pay more or less dependingon the participants desires.

Using the interface, the participant can enter and manipulate X, Y, andZ. By adjusting X, Y, and Z, the participant adjusts the total price forthe metallic ore that they are willing to purchase. In a standardizedsystem, the participant may be locked into a specific grade of ore andspecific premiums and discounts. Using a price frontier, the participantis able to bid exactly where they would like to be. Standardizedpremiums and discounts may still be used by the participants if theywould like to use the standard premiums and discounts, but they do nothave to. The flexibility allows a participant to exclude specific gradesof metallic ore that they cannot handle or are not profitable whilebidding more for specific grades that, for example, their smelter may beconfigured to handle.

The example price frontier generated above is described above using asimple function. Each of the variables X, Y, and Z may nest morecomplexity. For example, X may represent multiple different variables ormay be dependent on the value of Y. The complexity of the price frontiermay be limited by the interface and the messaging systems. The pricefrontier may also be limited by the size of the market place. Eachcommodity variable A, B, C, etc. may be limited using step sizes. In theexample described above, the step size of A may be limited to 0.5%steps. Each commodity variable A, B, C, etc. may also be limited by amaximum and minimum bound. A, for example, may range from 50% to 70%.Given these ranges and the 0.5% step size, the total possible A valuesmay be 40 (50, 50.5, 51, . . . 70). If there are 30 possible B valuesand 20 possible C values the total number of possible combinations is40×30×20 or 24,000. The price frontier described aboveP+[(A−0.60)*X+(B−0.10)*Y+(C−0.10)*Z)] as such provides 24,000 pricepoints at which the participant would be willing to purchase themetallic ore. If the participant does not wish to participate at each ofthese levels, the participant may adjust the price frontier to excludecertain ranges or combinations. For example, the participant may set theprice frontier to only include values of A from 60% to 64% and values ofB from 8% to 10%.

The complexities a price frontier may be limited by the messaging formatdefined by the transaction processing system. A simple system may limitthe participants to using coefficients for each variable. This isdescribed in the example above whereP+[(A−0.60)*X+(B−0.10)*Y+(C−0.10)*Z)]. The messaging format may includefields for X, Y and Z. Additional fields may be added for ranges ofvalues. A more complex messaging system may provide additional fields orbytes that allow the interface and the data transaction processingsystem to generate and interpret more complex interactions between thevariables. Each commodity may be unique, e.g., Iron Ore is differentthan grain which is different than crude. Certain variables fordifferent markets may be more or less important to participants andtherefore may involve more complex calculations and pricing mechanisms.

CONCLUSION

The illustrations of the embodiments described herein are intended toprovide a general understanding of the structure of the variousembodiments. The illustrations are not intended to serve as a completedescription of all of the elements and features of apparatus and systemsthat utilize the structures or methods described herein. Many otherembodiments may be apparent to those of skill in the art upon reviewingthe disclosure. Other embodiments may be utilized and derived from thedisclosure, such that structural and logical substitutions and changesmay be made without departing from the scope of the disclosure.Additionally, the illustrations are merely representational and may notbe drawn to scale. Certain proportions within the illustrations may beexaggerated, while other proportions may be minimized. Accordingly, thedisclosure and the figures are to be regarded as illustrative ratherthan restrictive.

While this specification contains many specifics, these should not beconstrued as limitations on the scope of the invention or of what may beclaimed, but rather as descriptions of features specific to particularembodiments of the invention. Certain features that are described inthis specification in the context of separate embodiments can also beimplemented in combination in a single embodiment. Conversely, variousfeatures that are described in the context of a single embodiment canalso be implemented in multiple embodiments separately or in anysuitable sub-combination. Moreover, although features may be describedas acting in certain combinations and even initially claimed as such,one or more features from a claimed combination can in some cases beexcised from the combination, and the claimed combination may bedirected to a sub-combination or variation of a sub-combination.

Similarly, while operations are depicted in the drawings and describedherein in a particular order, this should not be understood as requiringthat such operations be performed in the particular order shown or insequential order, or that all illustrated operations be performed, toachieve desirable results. In certain circumstances, multitasking andparallel processing may be advantageous. Moreover, the separation ofvarious system components in the described embodiments should not beunderstood as requiring such separation in all embodiments, and itshould be understood that the described program components and systemscan generally be integrated together in a single software product orpackaged into multiple software products.

One or more embodiments of the disclosure may be referred to herein,individually and/or collectively, by the term “invention” merely forconvenience and without intending to voluntarily limit the scope of thisapplication to any particular invention or inventive concept. Moreover,although specific embodiments have been illustrated and describedherein, it should be appreciated that any subsequent arrangementdesigned to achieve the same or similar purpose may be substituted forthe specific embodiments shown. This disclosure is intended to cover anyand all subsequent adaptations or variations of various embodiments.Combinations of the above embodiments, and other embodiments notspecifically described herein, will be apparent to those of skill in theart upon reviewing the description.

The Abstract of the Disclosure is provided to comply with 37 C.F.R. §1.72(b) and is submitted with the understanding that it will not be usedto interpret or limit the scope or meaning of the claims. In addition,in the foregoing Detailed Description, various features may be groupedtogether or described in a single embodiment for the purpose ofstreamlining the disclosure. This disclosure is not to be interpreted asreflecting an intention that the claimed embodiments require morefeatures than are expressly recited in each claim. Rather, as thefollowing claims reflect, inventive subject matter may be directed toless than all of the features of any of the disclosed embodiments. Thus,the following claims are incorporated into the Detailed Description,with each claim standing on its own as defining separately claimedsubject matter.

It is therefore intended that the foregoing detailed description beregarded as illustrative rather than limiting, and that it be understoodthat it is the following claims, including all equivalents, that areintended to define the spirit and scope of this invention.

1. A computer implemented method comprising: receiving, by a processorof a data transaction processing system, from a user via an interactiveuser interface, a multi-dimensional electronic data transaction requestmessage for a non-standardized data object including data representativeof at least a first function for a first attribute of thenon-standardized data object and a second function for a secondattribute of the non-standardized data object, wherein the interactiveuser interface enables the user to adjust the first function and thesecond function via a price curve graph, a formula field, and aprice-variable table to adjust the multi-dimensional electronic datatransaction request message, and wherein the price curve graph, theprice-variable table, and the formula field are linked to each other;determining, by the processor, a price frontier by calculating, based onthe first function and the second function, a value for each permissiblecombination of values for the first attribute and the second attribute,determining, by the processor, a set of solutions of themulti-dimensional electronic data transaction request message based onthe price frontier; and attempting to match, by the processor, at leastone solution of the set of solutions of the multi-dimensional electronicdata transaction request message with at least one solution counterthereto of a previously received but unsatisfied multi-dimensionalelectronic data transaction request message previously stored in anorder book data structure.
 2. The computer implemented method of claim1, further comprising: if one solution of the set of solutions matches,generating, by the processor, a trade report; and if no solutions of theset of solutions matches, storing, by the processor, in the order bookdata structure, data associated with the set of solutions.
 3. Thecomputer implemented method of claim 1, wherein the first attribute andthe second attribute of the non-standardized data object are differentfrom price.
 4. The computer implemented method of claim 1, wherein thefirst function and the second function comprise coefficients for thefirst attribute and the second attribute.
 5. The computer implementedmethod of claim 1, wherein the order book data structure stores aplurality of set of solutions determined from a plurality of previouslyreceived but unmatched multi-dimensional electronic data transactionrequest messages.
 6. The computer implemented method of claim 5, whereinthe order book data structure only stores a best bid solution and a bestoffer solution for each combination of the plurality of set ofsolutions, wherein the best bid solution is the highest priced bid andthe best offer solution is the lowest priced offer.
 7. The computerimplemented method of claim 1, wherein the first function and the secondfunction represent step functions.
 8. The computer implemented method ofclaim 1, wherein the multi-dimensional electronic data transactionrequest message further includes data representative of a limited rangeof values of the first attribute and the second attribute.
 9. Thecomputer implemented method of claim 1, wherein the permissiblecombination of values are defined by the data transaction processingsystem.
 10. The computer implemented method of claim 1, wherein thefirst function comprises at least a parameter relating to a benchmarkvalue.
 11. The computer implemented method of claim 1, wherein thenon-standardized data object represents a commodity that includes acomposition of different substances defined by at least the firstattribute and the second attribute.
 12. A data transaction processingsystem comprising: an order book data structure configured to storepreviously received but unsatisfied multi-dimensional electronic datatransaction request messages; a processor configured to: receive from auser via an interactive user interface, a multi-dimensional electronicdata transaction request message for a non-standardized data objectincluding data representative of at least a first function for a firstattribute of the non-standardized data object and a second function fora second attribute of the non-standardized data object; determine aprice frontier by calculating, based on the first function and thesecond function, a value for each permissible combination of values forthe first attribute and the second attribute; determine a set ofsolutions of the multi-dimensional electronic data transaction requestmessage based on the price frontier, wherein the interactive userinterface enables the user to adjust the first function and the secondfunction via a price curve graph, a formula field, and a price-variabletable to adjust the multi-dimensional electronic data transactionrequest message, and wherein the price curve graph, the price-variabletable, and the formula field are linked to each other; and attempt tomatch at least one solution of the set of solutions of themulti-dimensional electronic data transaction request message with atleast one solution counter thereto of a previously received butunsatisfied multi-dimensional electronic data transaction requestmessage previously stored in an order book data structure.
 13. The datatransaction processing system of claim 12, wherein the processor isfurther configured to: if one solution of the set of solutions matches,generate a trade report; and if no solutions of the set of solutionsmatches, store in the order book data structure, data associated withthe set of solutions.
 14. The data transaction processing system ofclaim 12, wherein the first attribute and the second attribute of thenon-standardized data object are different from price.
 15. The datatransaction processing system of claim 12, wherein the first functionand the second function comprise coefficients for the first attributeand the second attribute.
 16. The data transaction processing system ofclaim 12, wherein the order book data structure stores a plurality ofset of solutions determined from a plurality of previously received butunmatched multi-dimensional electronic data transaction requestmessages.
 17. The data transaction processing system of claim 16,wherein the order book data structure only stores a best bid solutionand a best offer solution for each combination of the plurality of setof solutions, wherein the best bid solution is the highest priced bidand the best offer solution is the lowest priced offer.
 18. The datatransaction processing system of claim 12, wherein the first functionand the second function represent step functions.
 19. The datatransaction processing system of claim 12, wherein the multi-dimensionalelectronic data transaction request message further includes datarepresentative of a limited range of values of the first attribute andthe second attribute.
 20. The data transaction processing system ofclaim 12, wherein the permissible combination of values are defined bythe data transaction processing system.
 21. The data transactionprocessing system of claim 12, wherein the first function comprises atleast a parameter relating to a benchmark value.
 22. The datatransaction processing system of claim 12, wherein the non-standardizeddata object represents a commodity that includes a composition ofdifferent substances defined by at least the first attribute and thesecond attribute.
 23. A data transaction processing system comprising:means for receiving, from a user via an interactive user interface, amulti-dimensional electronic data transaction request message for anon-standardized data object including data representative of at least afirst function for a first attribute of the non-standardized data objectand a second function for a second attribute of the non-standardizeddata object, wherein the interactive user interface enables the user toadjust the first function and the second function via a price curvegraph, a formula field, and a price-variable table to adjust themulti-dimensional electronic data transaction request message, andwherein the price curve graph, the price-variable table, and the formulafield are linked to each other; means for determining a price frontierby calculating, based on the first function and the second function, avalue for each permissible combination of values for the first attributeand the second attribute; means for determining a set of solutions ofthe multi-dimensional electronic data transaction request message basedon the price frontier; and means for attempting to match at least onesolution of the set of solutions of the multi-dimensional electronicdata transaction request message with at least one solution counterthereto of a previously received but unsatisfied multi-dimensionalelectronic data transaction request message previously stored in anorder book data structure.
 24. The data transaction processing system ofclaim 23, further comprising: means for generating a trade report if onesolution of the set of solution matches; and means for storing in theorder book data structure, the multi-dimensional electronic datatransaction request message, if no solutions of the set of solutionsmatch.